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不完整纵向二元数据的半参数有效估计及吸烟趋势应用AI 解读

Incomplete longitudinal data often are analyzed with estimating equations for inference on a parameter from a marginal mean regression model. Generalized estimating equations, although commonly used for incomplete longitudinal data, are invalid for data that are not missing completely at random. There exists a class of inverse probability weighted estimating equations that are valid under dropouts missing at random, including an easy-to-implement but inefficient member. A…

关于个体 PANIC 单位根检验合并的说明AI 解读

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness…

面板环境中的似然估计：Copula 的稳健性、冗余性与有效性AI 解读

This paper considers the estimation of likelihood-based models in a panel setting. That is, we have panel data, and for each time period separately we have a correctly specified model that could be estimated by MLE. We want to allow non-independence over time. This paper shows how to improve on the QMLE. It then considers MLE based on joint distributions constructed using copulas. It discusses the efficiency gain from using the true copula, and shows that knowledge of the…

工资支付违约中的互补性与惯例AI 解读

We present and estimate a model with strategic complementarities in firms' choices of on-time or delayed wage payment. Linked employer-employee panel data from Russia facilitate identification of the endogenous interactions through fixed effects for firms, workers, and local labor markets, and instrumental variables based on policy interventions. The estimated reaction function displays strongly positive neighborhood effects, and the estimated feedback loops-worker quits,…

金融改革的政治经济学：Abiad 与 Mody 的结论是否成立？AI 解读

Abstract Motivated by the questions ‘Financial Reform: What Shakes It? What Shapes It?’ raised by Abiad and Mody ( 2005 ), this paper studies the forces that induce governments to undertake financial sector reform. Rather than their ordered logit technique, it uses a within groups approach allowing for error dependence across countries and over time. This analysis shows that some of the AM findings are not robust to error dependence and the estimation method. It has shed new…

经济转型与增长AI 解读

Abstract Some extensions of neoclassical growth models are discussed that allow for cross‐section heterogeneity among economies and evolution in rates of technological progress over time. The models offer a spectrum of transitional behavior among economies that includes convergence to a common steady‐state path as well as various forms of transitional divergence and convergence. Mechanisms for modeling such transitions, measuring them econometrically, assessing group…

非平稳时间序列的局部线性分位数估计AI 解读

We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are applied to environmental data sets. In particular, our results can be used to address the problem of whether climate variability has changed, an important problem raised by IPCC (Intergovernmental Panel on Climate Change) in 2001.

经济预测的面板数据方法：偏差校正平均预测AI 解读

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also…

预测者进入与退出条件下的预测组合AI 解读

Combination of forecasts from survey data is complicated by the frequent entry and exit of individual forecasters which renders conventional least squares regression approaches infeasible. We explore the consequences of this issue for existing combination methods and propose new methods for bias-adjusting the equal-weighted forecast or applying combinations on an extended panel constructed by back-filling missing observations using an EM algorithm. Through simulations and an…

持久数据下动态面板模型的 GMM 估计与推断AI 解读

In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations…

用单调 B 样条半参数估计面板计数数据AI 解读

We study semiparametric likelihood-based methods for panel count data with proportional mean model E[ℕ(t)|Z]=Λ0(t)exp(β0TZ), where Z is a vector of covariates and Λ0(t) is the baseline mean function. We propose to estimate Λ0(t) and β0 jointly with Λ0(t) approximated by monotone B-splines and to compute the estimators using generalized Rosen algorithm proposed by Jamshidian (2004). We show that the proposed spline-based likelihood estimators of Λ0(t) are consistent with a…

含测量误差的分位数回归AI 解读

Regression quantiles can be substantially biased when the covariates are measured with error. In this paper we propose a new method that produces consistent linear quantile estimation in the presence of covariate measurement error. The method corrects the measurement error induced bias by constructing joint estimating equations that simultaneously hold for all the quantile levels. An iterative EM-type estimation algorithm to obtain the solutions to such joint estimation…

自评健康与身体功能变化的联合建模AI 解读

Self-rated health is an important indicator of future morbidity and mortality. Past research has indicated that self-rated health is related to both levels of and changes in physical functioning. However, no previous study has jointly modeled longitudinal functional status and self-rated health trajectories. We propose a joint model for self-rated health and physical functioning that describes the relationship between perceptions of health and the rate of change of physical…

重新检验通货膨胀的平稳性AI 解读

Abstract In a recent examination of the integrated nature of inflation, Culver and Papell ( Journal of Applied Econometrics , 1997) applied a range of unit root and stationarity tests to data from a panel of 13 OECD economies. The results obtained were mixed. While little evidence of stationarity was detected using univariate methods, rejection of the unit root hypothesis was observed under panel data unit root testing, although rejection was found to be sensitive to…

聚合并非解法：购买力平价谜题再现AI 解读

Abstract Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of persistence. According to them, the source of the bias is the existence of heterogeneous price adjustment dynamics at the sectoral level that established time series or panel data methods fail to control for. This paper re‐examines this claim in two steps. Firstly, we demonstrate that IMRR's measures…

老年人的健康与工作：主观健康测量、报告误差及内生性AI 解读

Abstract This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously related because of direct causal effects of health on work and vice versa, and because of unobservables that may affect both observed health and work outcomes. Secondly, social surveys usually contain self‐assessed health measures and research indicates that these may be subject to endogenous,…

补偿性的生前赠与AI 解读

Abstract Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the Health and Retirement Study 1992–2002, we estimate censored regression models with nested multilevel error components. First, we interpret our findings that inter vivos transfers from parents to children are gifts, rather than temporary help to overcome liquidity constraints. Second, inter…

补偿性工资差异的普遍缺失AI 解读

Abstract We study the relation between individual preferences for job amenities (e.g., type of work, job security) and compensating wage differentials in cross‐section. To this end, we estimate a partial equilibrium job search model on panel data from eight European countries. There are five non‐wage job characteristics and two sources of job‐to‐job mobility: on‐the‐job search and reallocation shocks. We also allow for two types of unobserved heterogeneity. We find strong…

动态面板数据模型中矩条件的最优选择AI 解读

This paper derives an approximation of the mean square error (MSE) of the GMM estimator in dynamic panel data models. The approximation is based on higher-order asymptotic theory under double asymptotics. While first-order theory under double asymptotics provides information about the bias, it does not provide enough information about the variance of the estimator. Higher-order theory enables us to obtain information about the variance. From this result, a procedure for…

横截面相关下的面板单位根检验：有限样本表现与应用AI 解读

This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new…

含潜在时间序列的非参数回归AI 解读

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose…

重复测量数据的非参数加性回归AI 解读

We develop an easily computed smooth backfitting algorithm for additive model fitting in repeated measures problems. Our methodology easily copes with various settings, such as when some covariates are the same over repeated response measurements. We allow for a working covariance matrix for the regression errors, showing that our method is most efficient when the correct covariance matrix is used. The component functions achieve the known asymptotic variance lower bound for…

基于估计函数的面板计数边际分析AI 解读

We develop nonparametric estimation procedures for the marginal mean function of a counting process based on periodic observations, using two types of self-consistent estimating equations. The first is derived from the likelihood studied in Wellner & Zhang (2000), assuming a Poisson counting process, and gives a nondecreasing estimator, which is the same as the nonparametric maximum likelihood estimator of Wellner & Zhang and thus is consistent without the Poisson…

主成分限制最大似然估计量的一致性AI 解读

In this paper we consider two closely related problems: estimation of eigenvalues and eigenfunctions of the covariance kernel of functional data based on (possibly) irregular measurements, and the problem of estimating the eigenvalues and eigenvectors of the covariance matrix for high-dimensional Gaussian vectors. In [A geometric approach to maximum likelihood estimation of covariance kernel from sparse irregular longitudinal data (2007)], a restricted maximum likelihood…