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大数据流失偏误的面板分位数方法：随机实验背景下的证据AI 解读

This paper introduces a quantile regression estimator for panel data models with individual heterogeneity and attrition. The method is motivated by the fact that attrition bias is often encountered in Big Data applications. For example, many users sign-up for the latest program but few remain active users several months later, making the evaluation of such interventions inherently very challenging. Building on earlier work by Hausman and Wise (1979), we provide a simple…

若干非可分离散选择模型的构造性识别AI 解读

This paper introduces new results on the nonparametric identification of separable and nonseparable discrete choice models. It presents constructive methods for recovering the derivatives of the utility functions of the alternatives in a set, when these utility functions are nonparametric and nonseparable in unobservable random terms. When the utility functions are separable, the constructive methods require fewer assumptions. It is assumed that only the probability of…

横截面与面板数据中的非可分多项选择模型AI 解读

Multinomial choice models are fundamental for empirical modeling of economic choices among discrete alternatives. We analyze identification of binary and multinomial choice models when the choice utilities are nonseparable in observed attributes and multidimensional unobserved heterogeneity with cross-section and panel data. We show that derivatives of choice probabilities with respect to continuous attributes are weighted averages of utility derivatives in cross-section…

固定效应模型中的因变量缺失AI 解读

This paper considers estimation of linear fixed-effects models in which the dependent variable may be missing. For cross-sectional units with dependent variables missing, use of covariate information from all time periods can provide efficiency gains relative to complete-data methods. A classical minimum distance (CMD) estimator based upon Chamberlain (1982, 1984), which is consistent under a missing-at-random (MAR) type assumption, is proposed for the static fixed-effects…

杰里·豪斯曼AI 解读

This paper is in two parts. The first part includes some reminiscences of my life with Jerry since we both arrived at MIT in 1972. The second part discusses what I view as Jerry’s most important and long-lasting contribution to energy economics. Jerry has been an amazing friend and colleague for 45 years. His paper analyzing consumer choice of energy using durable equipment and the estimate of consumer discount rates continues to be the gold standard from an analytical…

工具变量估计目标的结构AI 解读

When the overidentifying restrictions of the constant-effect linear instrumental variables model fail, common IV estimators converge to different probability limits. I characterize the estimands of two stage least squares, two step GMM, and limited information maximum likelihood as functions of the single-instrument estimands from the just-identified IV regressions which consider each instrument separately. The limited information maximum likelihood estimand is found to be…

非平衡面板中的相关随机效应模型AI 解读

I propose some strategies for allowing unobserved heterogeneity to be correlated withobserved covariates and sample selection for unbalanced panels. The methods are extensions of the Chamberlain–Mundlak approach for balanced panels when explanatory variables are strictly exogenous conditional on unobserved effects. A byproduct is fully robust Hausman tests for unbalanced panels. Even for nonlinear models, in many cases the estimators can be implemented using standard…

选择受限下的劳动供给与税收AI 解读

A model of labour supply and taxation is developed in which observed hours reflect both the distribution of preferences and restrictions on choices. Hours restrictions are placed in a constrained rational choice setting in which the set of alternative hours on offer is restricted. Choices are made on a random subset of possible hours. We focus on the case where the choice set contains at most two offers. We show that when the choice set distribution is known, preferences can…

项目福利影响估计：少报与插补数据下的工具变量方法AI 解读

Survey nonresponse has risen in recent years, which has increased the share of imputed and underreported values found on commonly used data sets. While this trend has been well documented for earnings, the growth in nonresponse to government transfers questions has received far less attention. We demonstrate analytically that the underreporting and imputation of transfer benefits can lead to program impact estimates that are substantially overstated when using instrumental…

使用协变量的回归断点设计AI 解读

We study regression discontinuity designs when covariates are included in the estimation. We examine local polynomial estimators that include discrete or continuous covariates in an additive separable way, but without imposing any parametric restrictions on the underlying population regression functions. We recommend a covariate-adjustment approach that retains consistency under intuitive conditions and characterize the potential for estimation and inference improvements. We…

少量处理组与异方差下的双重差分推断AI 解读

We derive an inference method that works in differences-in-differences settings with few treated and many control groups in the presence of heteroskedasticity. As a leading example, we provide theoretical justification and empirical evidence that heteroskedasticity generated by variation in group sizes can invalidate existing inference methods, even in data sets with a large number of observations per group. In contrast, our inference method remains valid in this case. Our…

差异马尔可夫随机场分析及微生物群落网络差异检测AI 解读

Micro-organisms such as bacteria form complex ecological community networks that can be greatly influenced by diet and other environmental factors. Differential analysis of microbial community structures aims to elucidate systematic changes during an adaptive response to changes in environment. In this paper, we propose a flexible Markov random field model for microbial network structure and introduce a hypothesis testing framework for detecting differences between networks,…

插补调查数据的伪总体自助法AI 解读

The most common way to treat item nonresponse in surveys is to replace a missing value by a plausible value constructed on the basis of fully observed variables. Treating the imputed values as if they were observed may lead to invalid inferences. Bootstrap variance estimators for various finite population parameters are obtained using two pseudo-population bootstrap schemes. We establish the asymptotic properties of the resulting bootstrap variance estimators for population…

干扰下因果效应的随机化检验AI 解读

Many causal questions involve interactions between units, also known as interference, for example between individuals in households, students in schools, or firms in markets. In this paper we formalize the concept of a conditioning mechanism, which provides a framework for constructing valid and powerful randomization tests under general forms of interference. We describe our framework in the context of two-stage randomized designs and apply our approach to a randomized…

基于稀疏充分降维的稳健高效因果推断AI 解读

A fundamental assumption used in causal inference with observational data is that treatment assignment is ignorable given measured confounding variables. This assumption of no missing confounders is plausible if a large number of baseline covariates are included in the analysis, as we often have no prior knowledge of which variables can be important confounders. Thus, estimation of treatment effects with a large number of covariates has received considerable attention in…

因果 Dantzig：加性干预下含隐藏变量线性结构方程模型的快速推断AI 解读

Causal inference is known to be very challenging when only observational data are available. Randomized experiments are often costly and impractical and in instrumental variable regression the number of instruments has to exceed the number of causal predictors. It was recently shown in Peters, Bühlmann and Meinshausen (2016) (J. R. Stat. Soc. Ser. B. Stat. Methodol. 78 947–1012) that causal inference for the full model is possible when data from distinct observational…

分位数回归过程的分布式推断AI 解读

The increased availability of massive data sets provides a unique opportunity to discover subtle patterns in their distributions, but also imposes overwhelming computational challenges. To fully utilize the information contained in big data, we propose a two-step procedure: (i) estimate conditional quantile functions at different levels in a parallel computing environment; (ii) construct a conditional quantile regression process through projection based on these estimated…

分位数回归折点设计的因果推断AI 解读

The quantile regression kink design (QRKD) is proposed by empirical researchers, but its causal interpretation remains unknown. We show that the QRKD estimand measures a weighted average of heterogeneous marginal effects at respective conditional quantiles of outcome given a designed kink point. We also derive limit processes for the QRKD estimator to conduct statistical inference on heterogeneous treatment effects using the QRKD. Applying our methods to the Continuous Wage…

倾向得分的设定检验AI 解读

This paper proposes new nonparametric diagnostic tools to assess the asymptotic validity of different treatment effects estimators that rely on the correct specification of the propensity score. We derive a particular restriction relating the propensity score distribution of treated and control groups, and develop specification tests based upon it. The resulting tests do not suffer from the “curse of dimensionality” when the vector of covariates is high-dimensional, are…

双重差分回归中简便可靠的渐近 t 检验AI 解读

We propose an asymptotically valid t test that uses Student’s t distribution as the reference distribution in a difference-in-differences regression. For the asymptotic variance estimation, we adopt the clustering-by-time approach to accommodate cross-sectional dependence. This approach often assumes the clusters to be independent across time, but we allow them to be temporally dependent. The proposed t test is based on a special heteroscedasticity and autocorrelation robust…

线性社会互动模型的识别与估计AI 解读

This paper has two parts. The first part derives the identification conditions for higher-order social interaction models. In the case where social effects depend on the distance between individuals, the upper bounds on the network diameters for non-identified models are derived. Many network properties of non-identified models in the literature can be derived from these upper bounds. This part analyzes which fixed effect elimination methods require less restrictive…

存在未观测拍卖异质性时第一价格拍卖风险厌恶的识别与估计AI 解读

This paper shows point-identification in first-price auctions with risk aversion and unobserved auction heterogeneity, by exploiting multiple bids per auction and variation in the number of bidders. If the exclusion restriction required for point-identification is violated, the recovered primitives are still valid bounds under weaker restrictions. We propose a Sieve Maximum Likelihood Estimator (SMLE). Monte Carlo experiments illustrate that the estimator performs well and…

离散选择模型条件矩不等式的降维推断AI 解读

This paper studies inference of preference parameters in semiparametric discrete choice models when these parameters are not point-identified and the identified set is characterized by a class of conditional moment inequalities. Exploring the semiparametric modeling restrictions, we show that the identified set can be equivalently formulated by moment inequalities conditional on only two continuous indexing variables. Such formulation holds regardless of the covariate…

两两稳定网络矩的弱大数定律AI 解读

This paper studies the dependence structure of sparse networks realized according to a strategic model of network formation with homophilous agents. We argue that equilibrium selection and chains of indirect dependence generated by strategic interactions are the main drivers of network dependence. Drawing on results in random-graph theory, we derive weak-dependence conditions under which a law of large numbers holds for a general class of network moments. A key condition…