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劳动收入轨迹并不异质：来自收入增长率的证据AI 解读

Idiosyncratic labor incomes are typically modeled either by stochastic processes with heterogeneous income profiles (HIPs) or restricted income profiles (RIPs).The HIP assumes that individual labor income grows deterministically at an unobserved rate and contains a persistent but stationary component, while the RIP assumes that income contains a random walk, a stationary component, and no unobserved deterministic growth-rate component.I show that if idiosyncratic labor…

缺失数据与因果推断模型中的改进双重稳健估计AI 解读

Recently proposed double-robust estimators for a population mean from incomplete data and for a finite number of counterfactual means can have much higher efficiency than the usual double-robust estimators under misspecification of the outcome model. In this paper, we derive a new class of double-robust estimators for the parameters of regression models with incomplete cross-sectional or longitudinal data, and of marginal structural mean models for cross-sectional data with…

带纵向协变量的左截断与右删失生存数据建模AI 解读

There is a surge in medical follow-up studies that include longitudinal covariates in the modeling of survival data. So far, the focus has been largely on right censored survival data. We consider survival data that are subject to both left truncation and right censoring. Left truncation is well known to produce biased sample. The sampling bias issue has been resolved in the literature for the case which involves baseline or time-varying covariates that are observable. The…

利用大型非平衡期权面板估计与检验非仿射期权定价模型AI 解读

In this paper, we consider joint estimation of objective and risk‐neutral parameters for stochastic volatility option pricing models using both stock and option prices. A common strategy simplifies the task by limiting the analysis to just one option per date. We first discuss its drawbacks on the basis of model interpretation, estimation results and pricing exercises. We then turn the attention to a more flexible approach, that successfully exploits the wealth of…

具有广义固定效应的非可分面板模型的非参数识别AI 解读

This paper extends the familiar notion of fixed effects to nonlinear structures with infinite-dimensional unobservables, like preferences. The main result is that a generalized version of differencing identifies local average responses (LARs) in nonseparable structures. In contrast to existing results, this does not require either substantial restrictions on functional form or independence between the persistent unobservables and the explanatory variables of interest, and it…

随机效应分布未指定时混合效应模型的条件推断函数AI 解读

In longitudinal studies, mixed-effects models are important for addressing subject-specific effects. However, most existing approaches assume a normal distribution for the random effects, and this could affect the bias and efficiency of the fixed-effects estimator. Even in cases where the estimation of the fixed effects is robust with a misspecified distribution of the random effects, the estimation of the random effects could be invalid. We propose a new approach to…

婚姻会提高男性工资吗？面板固定效应回归中的处理效应识别AI 解读

Social scientists have generated a large and inconclusive literature on the effect(s) of marriage on men’s wages. Researchers have hypothesized that the wage premium enjoyed by married men may reflect both a tendency for more productive men to marry and an effect of marriage on productivity. To sort out these explanations, researchers have used fixed effects regression models for panel data to adjust for selection on unobserved time-invariant confounders, interpreting…

纵向数据相关结构的信息性估计与选择AI 解读

Identifying an informative correlation structure is important in improving estimation efficiency for longitudinal data. We approximate the empirical estimator of the correlation matrix by groups of known basis matrices that represent different correlation structures, and transform the correlation structure selection problem to a covariate selection problem. To address both the complexity and the informativeness of the correlation matrix, we minimize an objective function…

信息性观测时点与依赖终止事件下的纵向数据联合分析AI 解读

In many longitudinal studies, repeated measures are often correlated with observation times. Also, there may exist a dependent terminal event such as death that stops the follow-up. In this article, we propose a new joint model for the analysis of longitudinal data in the presence of both informative observation times and a dependent terminal event via latent variables. Estimating equation approaches are developed for parameter estimation, and the resulting estimators are…

面板数据中时间趋势异质性的新估计方法AI 解读

This paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component analysis and estimate the time-varying trend effects using a small number of common functions calculated from the data. An important application for the new estimator is in the estimation…

删失Box–Cox回归模型的分布无关估计AI 解读

The Box–Cox regression model has been widely used in applied economics. However, there has been very limited discussion when data are censored. The focus has been on parametric estimation in the cross-sectional case, and there has been no discussion at all for the panel data model with fixed effects. This paper fills these important gaps by proposing distribution-free estimators for the Box–Cox model with censoring in both the cross-sectional and panel data settings. The…

金融改革的政治经济学：Huang 的发现有多稳健？AI 解读

SUMMARY Using new data on financial liberalization taken from Abiad et al . (2008, IMF Working Papers, No. 08/266) for 62 countries over the period 1975–2005, we show that some of the main findings of Huang's (2009, Journal of Applied Econometrics 24 : 1207–1213) replication study on the drivers of financial liberalization are not robust. Major changes concern the effect of democracy on financial reform and the supposed relationship between the desired level of financial…

仅超重时减重才可能提高工资：半线性面板模型的边际积分AI 解读

SUMMARY Some studies have shown that body mass index (BMI), weight (kg)/height (m) 2 , has a negative (or no) effect on wage. But BMI representing obesity is a tightly specified function of weight and height, and there is a room for weight given height (i.e. obesity given height) to better explain wage when the tight specification gets relaxed. In this paper, we address the question of weight effect on wage given height, employing two‐wave panel data for white females and…

经济增长的决定因素：贝叶斯面板数据方法AI 解读

Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country cross-sectional analyses have employed Bayesian model averaging to tackle the issue of model uncertainty. This paper extends that approach to panel data models with country-specific fixed effects in order to simultaneously address model uncertainty and endogeneity issues. The empirical findings suggest that in a panel setting, the most robust growth determinants are the…

通过边际积分估计半参数面板数据模型AI 解读

We propose an alternative method for estimating the nonlinear component in semiparametric panel data models. Our method is based on marginal integration that allows us to recover the nonlinear component from an additive regression structure that results from the first differencing transformation. We characterize the asymptotic behavior of our estimator. We also extend the methodology to treat panel data models with two-way effects. Monte Carlo simulations show that our…

相关面板中基于残差的协整检验AI 解读

In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency, endogeneity and various heterogeneities. The residuals are obtained from the usual least squares estimation of the postulated cointegrating relationships from each individual unit, and the nonlinear IV panel unit root testing procedure is applied to the panels of the fitted residuals using as instruments the nonlinear transformations of the adaptively fitted…

使用柯西估计量的异方差面板单位根检验AI 解读

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…

个体工资波动的异质性与动态建模AI 解读

Abstract This paper presents a model for the heterogeneity and dynamics of the conditional mean and conditional variance of individual wages. A bias‐corrected likelihood approach, which reduces the estimation bias to a term of order 1/ T 2 , is used for estimation and inference. The small‐sample performance of the proposed estimator is investigated in a Monte Carlo study. The simulation results show that the bias of the maximum likelihood estimator is substantially corrected…

税收对女性劳动供给影响的非参数估计AI 解读

Abstract This paper proposes a simple extension of nonparametric estimation methods for nonlinear budget‐set models derived in Blomquist and Newey ( 2002 ) to censored dependent variables. The nonparametric method is applied to estimate female labor supply elasticities using data on married women from the 1985 and 1989 waves of the Panel Study of Income Dynamics, exploiting the substantial variation in budget sets caused by the Tax Reform Act of 1986 as a source of…

响应缺失与协变量测量误差下纵向研究的函数型广义矩方法AI 解读

Abstract Covariate measurement error and missing responses are typical features in longitudinal data analysis. There has been extensive research on either covariate measurement error or missing responses, but relatively little work has been done to address both simultaneously. In this paper, we propose a simple method for the marginal analysis of longitudinal data with time-varying covariates, some of which are measured with error, while the response is subject to…

纵向数据协方差建模中的移动平均 Cholesky 因子模型AI 解读

We propose new regression models for parameterizing covariance structures in longitudinal data analysis. Using a novel Cholesky factor, the entries in this decomposition have a moving average and log-innovation interpretation and are modelled as linear functions of covariates. We propose efficient maximum likelihood estimates for joint mean-covariance analysis based on this decomposition and derive the asymptotic distributions of the coefficient estimates. Furthermore, we…

随机系数面板模型中的单位根检验AI 解读

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.

固定效应空间动态面板的估计：空间协整情形AI 解读

Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots generated by temporal and spatial correlations. We focus on the spatial cointegration model where some eigenvalues of the data generating process are equal to 1 and the outcomes of…

拟似然推断中检验模型错设的信息比率检验AI 解读

In this article, we focus on the circumstances in quasi-likelihood inference that the estimation accuracy of mean structure parameters is guaranteed by correct specification of the first moment, but the estimation efficiency could be diminished due to misspecification of the second moment. We propose an information ratio (IR) statistic to test for model misspecification of the variance/covariance structure through a comparison between two forms of information matrix: the…