日期精度：到日 662 篇 · 到月 1533 篇 · 到年 101 篇 · 未提供 3 篇
二元面板模型中充分性条件的一则札记
Consider estimating the slope coefficients of a fixed‐effect binary‐choice model from two‐period panel data. Two approaches to semiparametric estimation at the regular parametric rate have been proposed: one is based on a sufficiency requirement, and the other is based on a conditional‐median restriction. We show that, under standard assumptions, both conditions are equivalent.
动态面板同期相关的异方差稳健 Breusch–Pagan 检验
This paper proposes a heteroskedasticity-robust Breusch–Pagan test of the null hypothesis of zero cross-section (or contemporaneous) correlation in linear panel data models, without necessarily assuming independence of the cross-sections. The procedure allows for either fixed, strictly exogenous and/or lagged dependent regressor variables, as well as quite general forms of both non-normality and heteroskedasticity in the error distribution. The asymptotic validity of the…
存在信息性缺失时纵向研究的贝叶斯非参数分析
In longitudinal clinical trials, one often encounters missingness that is thought to be nonignorable. Such missingness introduces identifiability issues, resulting in causal effects being nonparametrically unidentified; it is then prudent to conduct a sensitivity analysis to assess how much of the inference is being driven by untestable assumptions needed to identify the effects of interest. We introduce a Bayesian nonparametric framework for conducting inference in the…
不规则时间间隔下的动态面板模型：幼儿发展应用
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well known. However, we show that these estimators break down when the data are irregularly spaced along the time dimension. Unfortunately, this is an increasingly frequent occurrence as many longitudinal surveys are collected at non-uniform intervals and no solution is currently available when time-varying…
固定效应动态空间面板模型与脉冲响应分析
Real data often have complicated correlations over cross section and time. Such correlations are of particular interests in empirical studies. This paper considers using high order spatial lags and high order time lags to model complicated correlations over cross section and time. We propose to use the quasi maximum likelihood (QML) method to estimate the model. We establish the asymptotic theory of the quasi maximum likelihood estimator (QMLE), including the consistency and…
交叉分类抽样下的估计及儿童调查应用
The cross-classified sampling design consists in drawing samples from a two-dimensional population, independently in each dimension. Such design is commonly used in consumer price index surveys and has been recently applied to draw a sample of babies in the French Longitudinal Survey on Childhood, by crossing a sample of maternity units and a sample of days. We propose to derive a general theory of estimation for this sampling design. We consider the Horvitz–Thompson…
存在终末事件时基于标志物过程的非参数获益风险评估
Benefit-risk assessment is a crucial step in medical decision process. In many biomedical studies, both longitudinal marker measurements and time to a terminal event serve as important endpoints for benefit-risk assessment. The effect of an intervention or a treatment on the longitudinal marker process, however, can be in conflict with its effect on the time to the terminal event. Thus, questions arise on how to evaluate treatment effects based on the two endpoints, for the…
具有交互固定效应的空间动态面板模型
This paper studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. The interactive effects capture heterogeneous impacts of time effects on cross sectional units. The interactive effects are treated as parameters, so as to allow…
内生时变空间权重下空间动态面板模型的拟极大似然估计
In spatial panel data models, when a spatial weights matrix is constructed from economic or social distance, spatial weights could be endogenous and also time varying. This paper presents model specification and proposes QMLE estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. Asymptotic properties of the proposed QMLE are rigorously established. We extend the notion of spatial near-epoch dependence to allow time dependence.…
非可分面板数据模型识别假设的检验
Recent work on nonparametric identification of average partial effects (APEs) from panel data require restrictions on individual or time heterogeneity. Identifying assumptions under the “generalized first-differencing” category, such as time homogeneity (Chernozhukov et al., 2013), have testable equality restrictions on the distribution of the outcome variable. This paper proposes specification tests based on these restrictions. The bootstrap critical values for the…
截面与面板数据中的格兰杰因果和结构因果
Granger noncausality in distribution is fundamentally a probabilistic conditional independence notion that can be applied not only to time series data but also to cross-section and panel data. In this paper, we provide a natural definition of structural causality in cross-section and panel data and forge a direct link between Granger ( G –) causality and structural causality under a key conditional exogeneity assumption. To put it simply, when structural effects are well…
线性面板模型共同变点的 CUSUM 估计量渐近性质
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the cross-sectional units in the form of a common factor. A CUSUM type estimator is proposed, and we establish first and second order asymptotics that can be used to derive consistent confidence intervals for the time of change. Our results improve upon existing theory in two primary directions. Firstly, the conditions we impose on the…
弱与强截面相关：国际技术扩散的面板数据分析
Summary This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross‐sectional dependence, particularly on the different ways—weak and strong—that this dependence may affect model specification and estimation. A preliminary analysis based on estimation of the exponent of cross‐sectional dependence provides a clear result in favor of strong cross‐sectional dependence. This result has relevant…
收入与民主：平滑变系数模型的重新考察
Summary Acemoglu et al. ( American Economic Review 2008; 98 : 808–842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by Moral‐Benito and Bartolucci ( Economics Letters 2012; 117 : 844–847) and Cervellati et al. ( American Economic Review 2014; 104 : 707–719) suggests that the original model might have been misspecified and proposes alternative specifications instead. We formally test these parametric specifications by…
一般预测变量下的面板可预测性检验
Summary The difficulty of predicting returns has recently motivated researchers to start looking for tests that are either more powerful or robust to more features of the data. Unfortunately, the way that these tests work typically involves trading robustness for power or vice versa. The current paper takes this as its starting point to develop a new panel‐based approach to predictability that is both robust and powerful. Specifically, while the panel route to increased…
城市犯罪时空面板计数模型的似然推断与预测
Summary We develop a panel count model with a latent spatio‐temporal heterogeneous state process for monthly severe crimes at the census‐tract level in Pittsburgh, Pennsylvania. Our dataset combines Uniform Crime Reporting data with socio‐economic data. The likelihood is estimated by efficient importance sampling techniques for high‐dimensional spatial models. Estimation results confirm the broken‐windows hypothesis whereby less severe crimes are leading indicators for…
经验贝叶斯棒球再论：纵向数据的经验贝叶斯方法
Summary Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the nonparametric maximum likelihood estimator of Kiefer and Wolfowitz ( Annals of Mathematical Statistics 1956; 27 : 887–906) is employed to construct nonparametric Bayes rules for compound decisions. The methods are illustrated with an application to predict baseball batting averages, and the age…
高维门限因子模型的最小二乘估计
This paper studies large dimensional factor models with threshold-type regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is superconsistent, with convergence rate that depends on the time and cross-sectional dimensions of the panel, and it does not affect the estimator for factors and loadings: this has the same convergence rate as in linear factor models.…
面板数据平均处理效应估计：渐近理论与实施
Hsiao, Ching and Wan (2012) propose a novel method to estimate the average treatment effect using panel data. In this paper, we accomplish the following: (i) We relax some of the distributional assumptions made in HCW and show that the HCW method works for a much wider range of data generating processes; (ii) We derive the asymptotic distribution of HCW’s average treatment effect estimator which facilitates inference; (iii) When there exists a large number of control units,…
因子增广面板回归中 CCE 估计的秩条件作用
A popular approach to factor-augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). This paper points to a problem with the CCE approach that appears in the empirically relevant case when the number of factors is strictly less than the number of observables used in their estimation. Specifically, the use of too many observables causes the second moment matrix of the estimated factors to become asymptotically singular, an issue that…
公共债务对产出增长存在门槛效应吗？
This paper studies the relationship between public debt expansion and economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. We contribute theoretically by developing tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent errors. In the empirical application, using data on a sample of forty countries over the 1965–2010 period, we find no evidence for a…
具有半参数相关效应的惩罚分位数回归：异质性偏好应用
Summary This paper proposes new ℓ 1 ‐penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. Existing fixed‐effects estimators can potentially suffer from three limitations which are overcome by the proposed approach: (i) incidental parameters bias in nonlinear models with large N and small T ; (ii) lack of efficiency; and (iii) inability to estimate the effects of time‐invariant regressors. We…
混合 Logit 模型中古典与贝叶斯估计的差异：复现研究
Summary The mixed logit model is widely used in applied econometrics. Researchers typically rely on the free choice between the classical and Bayesian estimation approach. However, empirical evidence of the similarity of their parameter estimates is sparse. The presumed similarity is mainly based on one empirical study that analyzes a single dataset (Huber J, Train KE. 2001. On the similarity of classical and Bayesian estimates of individual mean partworths. Marketing…
不等时间间隔动态面板数据的识别与估计
We propose conditions under which parameters of fixed-effect dynamic models are identified with unequally spaced panel data. Under predeterminedness, weak stationarity, and empirically testable rank conditions, AR(1) parameters are identified given the availability of “two pairs of two consecutive time gaps”, which generalizes “two pairs of two consecutive time periods”. This result extends to models with multiple covariates, higher-order autoregressions, and partial…