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条件矩不等式的多尺度自适应推断AI 解读

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a modified bootstrap procedure. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. The test detects local…

内生删失面板数据模型的识别AI 解读

We study inference on parameters in linear panel data models when outcomes are censored. We allow the censoring to depend on both observable and unobservable variables in arbitrary ways. Generally, these models are set identified and the main contribution of this paper is to derive and characterize the identified sets under general conditions. Our main characterization theorems show that every parameter in the sharp set–and only those parameters–can generate the observed…

一类部分识别模型中的贝叶斯推断AI 解读

This paper develops a Bayesian approach to inference in a class of partially identified econometric models. Models in this class are characterized by a known mapping between a point identified reduced-form parameter μ and the identified set for a partially identified parameter θ. The approach maps posterior inference about μ to various posterior inference statements concerning the identified set for θ, without the specification of a prior for θ. Many posterior inference…

具有一个排除限制的有限混合模型AI 解读

This paper characterizes the identified set for finite mixture models with one exclusion restriction on the data‐generating process. It provides necessary and sufficient conditions on the observed data for point identification and for when the identified set has measure zero. The results are illustrated in a simulation study and with data from a randomized controlled trial on chemotherapy for colon cancer as well as with data from an observational study used to estimate…

部分识别计量模型推断的对偶方法AI 解读

This paper considers inference for the set ΘI of parameter values that minimize a criterion function. Chernozhukov et al. (2007) (CHT) develop a general theory of estimation and inference using the level-set of a criterion function. We establish a dual relationship between the level-set estimator and its support function and show that the properly normalized support function provides alternative Wald-type inference methods. These methods can be used to obtain confidence sets…

存在不可观测异质性的处理效应：集合识别方法AI 解读

We propose the sharp identifiable bounds of the potential outcome distributions using panel data. We allow for the possibility that statistical randomization of treatment assignments is not achieved until unobserved heterogeneity is properly controlled for. We use certain stationarity assumptions to obtain the sharp bounds. Our approach allows for dynamic treatment decisions, where the current treatment decisions may depend on the past treatments or the past observed…

按覆盖概率误差比较部分识别模型的推断方法AI 解读

This paper considers the problem of coverage of the elements of the identified set in a class of partially identified econometric models with a prespecified probability. In order to conduct inference in partially identified econometric models defined by moment (in)equalities, the literature has proposed three methods: bootstrap, subsampling, and asymptotic approximation. The objective of this paper is to compare these methods in terms of the rate at which they achieve the…

推断会计违规发生率的贝叶斯部分识别方法AI 解读

This article describes the use of flexible Bayesian regression models for estimating a partially identified probability function. Our approach permits efficient sensitivity analysis concerning the posterior impact of priors on the partially identified component of the regression model. The new methodology is illustrated on an important problem where only partially observed data are available—inferring the prevalence of accounting misconduct among publicly traded U.S.…

短面板固定效应删失分位数回归模型的集合识别AI 解读

This paper studies identification and estimation of a censored quantile regression model for short panel data with fixed effects. Using the redistribution-of-mass idea, we obtain bounds on the conditional distribution of differences of the model across periods, under conditional quantile restrictions together with a weak conditional independence assumption along the lines of Rosen (2012). The inversion of the distribution bounds characterizes the sharp identified set via a…

二元三角系统中处理效应的尖锐界限AI 解读

This paper considers the evaluation of the average treatment effect (ATE) in a triangular system with binary dependent variables. I impose a threshold crossing model on both the endogenous regressor and the outcome. The bounds proposed by Shaikh and Vytlacil (2011,SV) on the ATE are sharp only under a restrictive condition on the support of the covariates and the instruments, which rules out a wide range of models and many relevant applications. In this setting, I provide a…

金融中的集合推断AI 解读

We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen–Jagannathan sets of admissible stochastic discount factors, Markowitz–Fama mean–variance sets for asset portfolio returns, and the set of structural elasticities in Chetty's (2012) analysis of demand with optimization frictions. The econometric structure of the problem allows us to…

部分识别的不完备结构模型推断的组合方法AI 解读

We propose a computationally feasible inference method in finite games of complete information. Galichon and Henry, 2011 and Beresteanu, Molchanov, and Molinari, 2011 show that the empirical content in such models is characterized by a collection of moment inequalities whose number increases exponentially with the number of discrete outcomes. We propose an equivalent characterization based on classical combinatorial optimization methods that allows the construction of…

二元响应模型中基于准则函数的集合估计量的非标准收敛速度AI 解读

This paper establishes consistency and non‐standard rates of convergence for set estimators based on contour sets of criterion functions for a semi‐parametric binary response model under a conditional median restriction. The model can be partially identified due to potentially limited‐support regressors and an unknown distribution of errors. A set estimator analogous to the maximum score estimator is essentially cube‐root consistent for the identified set when a continuous…

一类部分识别模型的简单双阶段推断AI 解读

This paper proposes a new two-stage estimation and inference procedure for a class of partially identified models. The procedure can be considered an extension of classical minimum distance estimation procedures to accommodate inequality constraints and partial identification. It involves no tuning parameter, is nonconservative, and is conceptually and computationally simple. The class of models includes models of interest to applied researchers, including the static entry…

In this paper we, like several studies in the recent literature, employ a Bayesian approach to estimation and inference in models with endogeneity concerns by imposing weaker prior assumptions than complete excludability. When allowing for instrument imperfection of this type, the model is only partially identified, and as a consequence standard estimates obtained from the Gibbs simulations can be unacceptably imprecise. We thus describe a substantially improved…

条件矩不等式模型中的渐近精确推断AI 解读

This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov–Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general conditions. Using these results, I propose tests that are more powerful than existing approaches for choosing critical values for this test statistic. I quantify the power improvement by showing that the new tests can detect alternatives that…

矩不等式定义的部分识别模型设定检验AI 解读

This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of interest are empty or not, referred to as Test BP. We propose two new specification tests, denoted Test RS and Test RC, that achieve uniform asymptotic size control and dominate Test…

社会互动下的处理响应：通过单调比较静态实现部分识别AI 解读

This paper studies (nonparametric) partial identification of treatment response with social interactions. It imposes conditions motivated by economic theory on the primitives of the model, that is, the structural equations, and shows that they imply shape restrictions on the distribution of potential outcomes via monotone comparative statics. The econometric framework is tractable and allows for counterfactual predictions in models with multiple equilibria. Under three sets…

区间数据下半参数二元响应模型的推断AI 解读

This paper studies the semiparametric binary response model with interval data investigated by Manski and Tamer (2002). In this partially identified model, we propose a new estimator based on MT’s modified maximum score (MMS) method by introducing density weights to the objective function, which allows us to develop asymptotic properties of the proposed set estimator for inference. We show that the density-weighted MMS estimator converges at a nearly cube-root-n rate. We…

联合观测与干预数据估计有向无环图的干预马尔可夫等价类AI 解读

Summary In many applications we have both observational and (randomized) interventional data. We propose a Gaussian likelihood framework for joint modelling of such different data types, based on global parameters consisting of a directed acyclic graph and corresponding edge weights and error variances. Thanks to the global nature of the parameters, maximum likelihood estimation is reasonable with only one or few data points per intervention. We prove consistency of the…

矩不等式及其应用AI 解读

This paper provides conditions under which the inequality constraints generated by either single agent optimizing behavior or the best response condition of multiple agent problems can be used as a basis for estimation and inference. An application illustrates how the use of these inequality constraints can simplify the analysis of complex behavioral models.

劳动收入过程的持久—暂时成分表示AI 解读

We consider the decomposition of shocks to a dynamic process into a persistent and a transitory component. Without additional assumptions (such as zero correlation) the decomposition of shocks into a persistent and transitory component is indeterminate. The assumption that is conventional in the earnings literature is that there is no correlation. The Beveridge–Nelson decomposition that is widely used in time series analysis assumes a perfect correlation. Without…

大量矩不等式下的一致估计AI 解读

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV models, and parameters defined by a continuum of moment inequalities, in particular conditional moment inequalities. We provide a generic consistency result for criterion-based estimators…

部分识别模型的两阶段程序AI 解读

This paper studies a two-stage procedure for estimating partially identified models, based on Chernozhukov, Hong, and Tamer’s (2007) theory of set estimation and inference. We consider the case where a sub-vector of parameters or their identified set can be estimated separately from the rest, possibly subject to a priori restrictions. Our procedure constructs the second-stage set estimator and confidence set by taking appropriate level sets of a criterion function, using a…