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删失位置—尺度回归模型的非参数识别与估计AI 解读

In this article we consider identification and estimation of a censored nonparametric location scale-model. We first show that in the case where the location function is strictly less than the (fixed) censoring point for all values in the support of the explanatory variables, the location function is not identified anywhere. In contrast, when the location function is greater or equal to the censoring point with positive probability, the location function is identified on the…

总体分位数的迭代平滑自助法置信区间AI 解读

This paper investigates the effects of smoothed bootstrap iterations on coverage probabilities of smoothed bootstrap and bootstrap-t confidence intervals for population quantiles, and establishes the optimal kernel bandwidths at various stages of the smoothing procedures. The conventional smoothed bootstrap and bootstrap-t methods have been known to yield one-sided coverage errors of orders O(n−1/2) and o(n−2/3), respectively, for intervals based on the sample quantile of a…

分位数处理效应的工具变量模型AI 解读

The ability of quantile regression models to characterize the heterogeneous impact of variables on different points of an outcome distribution makes them appealing in many economic applications. However, in observational studies, the variables of interest (e.g., education, prices) are often endogenous, making conventional quantile regression inconsistent and hence inappropriate for recovering the causal effects of these variables on the quantiles of economic outcomes. In…

美国环境质量近期趋势的稳健推断AI 解读

Abstract Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons of unconditional or conditional mean pollution levels. However, reaching unambiguous conclusions on the basis of only the first moment of the (unconditional or conditional) distribution is problematic since it ignores what is occurring in different regions of the distribution. Even relying…

条件密度估计的交叉验证方法AI 解读

We extend the idea of crossvalidation to choose the smoothing parameters of the ‘double-kernel’ local linear regression for estimating a conditional density. Our selection rule optimises the estimated conditional density function by minimising the integrated squared error. We also discuss three other bandwidth selection rules, an ad hoc method used by Fan et al. (1996), a bootstrap method of Hall et al. (1999) for bandwidth selection in the estimation of conditional…

由递增加性过程驱动的归一化随机测度AI 解读

This paper introduces and studies a new class of nonparametric prior distributions. Random probability distribution functions are constructed via normalization of random measures driven by increasing additive processes. In particular, we present results for the distribution of means under both prior and posterior conditions and, via the use of strategic latent variables, undertake a full Bayesian analysis. Our class of priors includes the well-known and widely used mixture…

不依从情形下的结构均值效应AI 解读

A randomized, placebo-controlled blood pressure (BP) reduction trial has recorded compliance measures by electronic monitoring. Causal questions regarding dose effects are of interest, but one often wants to avoid the assumption that compliance quantiles on both randomized arms are comparable. Structural mean models (SMMs) do avoid this assumption; however, they do not allow for interaction effects between variables observed on different randomized arms. Such an interaction…

基于矩限制的有效半参数估计AI 解读

Conditional moment restrictions can be combined through GMM estimation to construct more efficient semiparametric estimators. This paper is about attainable efficiency for such estimators. We define and use a moment tangent set, the directions of departure from the truth allowed by the moments, to characterize when the semiparametric efficiency bound can be attained. The efficiency condition is that the moment tangent set equals the model tangent set. We apply these results…

面板二元变量与充分性：推广条件 LogitAI 解读

This paper extends the conditional logit approach (Rasch, Andersen, Chamberlain) used in panel data models of binary variables with correlated fixed effects and strictly exogenous regressors. In a two-period two-state model, necessary and sufficient conditions on the joint distribution function of the individual-and-period specific shocks are given such that the sum of individual binary variables across time is a sufficient statistic for the individual effect. By extending a…

极化：概念、测量与估计AI 解读

We develop the measurement theory of polarization for the case in which income distributions can be described using density functions. The main theorem uniquely characterizes a class of polarization measures that fits into what we call the “identity-alienation” framework, and simultanously satisfies a set of axioms. Second, we provide sample estimators of population polarization indices that can be used to compare polarization across time or entities. Distribution-free…

中位数的稳健非参数推断AI 解读

We consider the problem of constructing robust nonparametric confidence intervals and tests of hypothesis for the median when the data distribution is unknown and the data may contain a small fraction of contamination. We propose a modification of the sign test (and its associated confidence interval) which attains the nominal significance level (probability coverage) for any distribution in the contamination neighborhood of a continuous distribution. We also define some…

季度面板数据中的动态与季节性AI 解读

This article presents an empirical analysis of the dynamics of individual earnings using Spanish quarterly earnings. I propose a new econometric methodology to control for the seasonality in my dataset. Moreover, I apply this methodology to the study of earnings mobility in Spain, using transition probabilities among earnings quintiles for the period 1985–1996. I find substantial mobility from one year to the next; however, earnings changes are basically among adjacent…

CAViaR：条件自回归风险价值模型AI 解读

Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizing the criterion that each period the probability of exceeding the VaR must be…

病例对照抽样下的现状数据AI 解读

In this paper, we show that the distribution function of survival times is identified, up to a one‐parameter family of distribution functions, based on information from case‐control current status data. With supplementary information on the population frequency of cases relative to controls, a simple weighted version of the nonparametric maximum likelihood estimator for prospective current status data provides a natural estimator for case‐control samples. Following the…

单位根分位数自回归推断AI 解读

We study statistical inference in quantile autoregression models when the largest autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression estimator and its t-statistic is derived. The asymptotic distribution is not the conventional Dickey–Fuller distribution, but rather a linear combination of the Dickey–Fuller distribution and the standard normal, with the weight determined by the correlation coefficient of related time series.…

一类非正规计量经济模型中的似然估计与推断AI 解读

We study inference in structural models with a jump in the conditional density, where location and size of the jump are described by regression curves. Two prominent examples are auction models, where the bid density jumps from zero to a positive value at the lowest cost, and equilibrium job-search models, where the wage density jumps from one positive level to another at the reservation wage. General inference in such models remained a long-standing, unresolved problem,…

国家间极化、福利与贫困的推断：101 国研究AI 解读

Abstract Stochastic Dominance techniques are adapted and employed to study the extent and progress of Polarization, Welfare and Poverty of 101 nations over the period 1970–1995. The adaptations provide methods of comparing mass relocation by evaluating various degrees of right and left separation between distributions. The results reveal that, whilst welfare increased and then diminished and poverty diminished and then increased, polarization between rich and poor countries…

尺度未知时稳健位置估计的一致渐近理论AI 解读

Most asymptotic results for robust estimates rely on regularity conditions that are difficult to verify in practice. Moreover, these results apply to fixed distribution functions. In the robustness context the distribution of the data remains largely unspecified and hence results that hold uniformly over a set of possible distribution functions are of theoretical and practical interest. Also, it is desirable to be able to determine the size of the set of distribution…

401(k)参与对财富分布的影响：工具变量分位数回归分析AI 解读

We use instrumental quantile regression approach to examine the effects of 401(k) plans on wealth using data from the Survey of Income and Program Participation. Using 401(k) eligibility as an instrument for 401(k) participation, we estimate the quantile treatment effects of participation in a 401(k) plan on several measures of wealth. The results show the effects of 401(k) participation on net financial assets are positive and significant over the entire range of the asset…

二元响应模型中福利评价的半参数方法AI 解读

Applied welfare analysis is commonly based on mean or median benefit estimates. However, the whole conditional distribution of benefits is often of interest for policy makers. This article compares the distributional information recovered by competing semiparametric methods. Results obtained using a valuation study for the improvement of water resources in Brazil suggest that the semiparametric approaches are in line with each other, capturing a rich heterogeneity structure…

医疗改革与就诊次数：一项计量分析AI 解读

Abstract This paper evaluates the German health care reform of 1997, using the individual number of doctor visits as outcome measure and data from the German Socio‐Economic Panel for the years 1995–1999. A number of modified count data models allow us to estimate the effect of the reform in different parts of the distribution. The overall effect of the reform was a 10% reduction in the number of doctor visits. The effect was much larger in the lower part of the distribution…

适用于二元数据的高效 Robbins–Monro 程序AI 解读

The Robbins–Monro procedure does not perform well in the estimation of extreme quantiles, because the procedure is implemented using asymptotic results, which are not suitable for binary data. Here we propose a modification of the Robbins–Monro procedure and derive the optimal procedure for binary data under some reasonable approximations. The improvement obtained by using the optimal procedure for the estimation of extreme quantiles is substantial.

错误发现控制的随机过程方法AI 解读

This paper extends the theory of false discovery rates (FDR) pioneered by Benjamini and Hochberg [J. Roy. Statist. Soc. Ser. B 57 (1995) 289–300]. We develop a framework in which the False Discovery Proportion (FDP)—the number of false rejections divided by the number of rejections—is treated as a stochastic process. After obtaining the limiting distribution of the process, we demonstrate the validity of a class of procedures for controlling the False Discovery Rate (the…

第一阶段基于分位数回归的两阶段分位数回归AI 解读

We present the asymptotic properties of double-stage quantile regression estimators with random regressors, where the first stage is based on quantile regressions with the same quantile as in the second stage, which ensures robustness of the estimation procedure. We derive invariance properties with respect to the reformulation of the dependent variable. We propose a consistent estimator of the variance--covariance matrix of the new estimator. Finally, we investigate finite…