论文检索

随机区块模型的似然模型选择AI 解读

The stochastic block model (SBM) provides a popular framework for modeling community structures in networks. However, more attention has been devoted to problems concerning estimating the latent node labels and the model parameters than the issue of choosing the number of blocks. We consider an approach based on the log likelihood ratio statistic and analyze its asymptotic properties under model misspecification. We show the limiting distribution of the statistic in the case…

具有交互固定效应的空间动态面板模型AI 解读

This paper studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. The interactive effects capture heterogeneous impacts of time effects on cross sectional units. The interactive effects are treated as parameters, so as to allow…

基于三角密度混合的贝叶斯众数回归AI 解读

Bayesian semiparametric models for mean and median regressions abound, but a void for mode regressions exists. We fill this gap by nonparametrically modeling the error distribution in such regressions that entails constructing prior distributions on densities which exhibit flexibility, while fixing the mode at 0. Such priors exist when constraining the mean and median but, to our knowledge, there is none for the mode. Our solution with mixtures of triangular distributions…

内生时变空间权重下空间动态面板模型的拟极大似然估计AI 解读

In spatial panel data models, when a spatial weights matrix is constructed from economic or social distance, spatial weights could be endogenous and also time varying. This paper presents model specification and proposes QMLE estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. Asymptotic properties of the proposed QMLE are rigorously established. We extend the notion of spatial near-epoch dependence to allow time dependence.…

非可分面板数据模型识别假设的检验AI 解读

Recent work on nonparametric identification of average partial effects (APEs) from panel data require restrictions on individual or time heterogeneity. Identifying assumptions under the “generalized first-differencing” category, such as time homogeneity (Chernozhukov et al., 2013), have testable equality restrictions on the distribution of the outcome variable. This paper proposes specification tests based on these restrictions. The bootstrap critical values for the…

信贷可得性与大学入学AI 解读

Does access to credit explain the gap in schooling attainment between children from richer and poorer families? I present new evidence on this important question based on the causal effects of two college loan programs in Chile that are available to students scoring above a threshold on the national college admission test, enabling a regression discontinuity design. I find that credit access leads to a 100 percent increase in immediate college enrollment and a 50 percent…

截面与面板数据中的格兰杰因果和结构因果AI 解读

Granger noncausality in distribution is fundamentally a probabilistic conditional independence notion that can be applied not only to time series data but also to cross-section and panel data. In this paper, we provide a natural definition of structural causality in cross-section and panel data and forge a direct link between Granger ( G –) causality and structural causality under a key conditional exogeneity assumption. To put it simply, when structural effects are well…

线性面板模型共同变点的 CUSUM 估计量渐近性质AI 解读

We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the cross-sectional units in the form of a common factor. A CUSUM type estimator is proposed, and we establish first and second order asymptotics that can be used to derive consistent confidence intervals for the time of change. Our results improve upon existing theory in two primary directions. Firstly, the conditions we impose on the…

住宅地块开发持续期模型中的价格内生性AI 解读

Summary Spatial equilibrium implies that distant factors are correlated with local prices through market mechanisms. Using this logic, we develop a novel approach for handling price endogeneity in land use models. We combine a control function approach with a duration model to identify the impact of prices in influencing land conversion. We find that failure to control for endogeneity results in large differences in elasticities. Specifically, we find an elasticity of 2.06…

教师质量与学生成绩：荷兰双胞胎样本的证据AI 解读

Summary This paper examines the causal link that runs from classroom quality to student achievement using data on twin pairs who entered the same school but were allocated to different classrooms in an exogenous way. In particular, we apply twin fixed‐effects estimation to assess the effect of teacher quality on student test scores from second through eighth grade of primary education, arguing that a change in teacher quality is probably the most important classroom…

一般预测变量下的面板可预测性检验AI 解读

Summary The difficulty of predicting returns has recently motivated researchers to start looking for tests that are either more powerful or robust to more features of the data. Unfortunately, the way that these tests work typically involves trading robustness for power or vice versa. The current paper takes this as its starting point to develop a new panel‐based approach to predictability that is both robust and powerful. Specifically, while the panel route to increased…

城市犯罪时空面板计数模型的似然推断与预测AI 解读

Summary We develop a panel count model with a latent spatio‐temporal heterogeneous state process for monthly severe crimes at the census‐tract level in Pittsburgh, Pennsylvania. Our dataset combines Uniform Crime Reporting data with socio‐economic data. The likelihood is estimated by efficient importance sampling techniques for high‐dimensional spatial models. Estimation results confirm the broken‐windows hypothesis whereby less severe crimes are leading indicators for…

经验贝叶斯棒球再论：纵向数据的经验贝叶斯方法AI 解读

Summary Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the nonparametric maximum likelihood estimator of Kiefer and Wolfowitz ( Annals of Mathematical Statistics 1956; 27 : 887–906) is employed to construct nonparametric Bayes rules for compound decisions. The methods are illustrated with an application to predict baseball batting averages, and the age…

基于深度的极端分位数区域估计AI 解读

Summary Consider the extreme quantile region induced by the half-space depth function HD of the form Q={x∈Rd:HD(x,P)⩽β}, such that PQ=p for a given, very small p > 0. Since this involves extrapolation outside the data cloud, this region can hardly be estimated through a fully non-parametric procedure. Using extreme value theory we construct a natural semiparametric estimator of this quantile region and prove a refined consistency result. A simulation study clearly…

面板数据平均处理效应估计：渐近理论与实施AI 解读

Hsiao, Ching and Wan (2012) propose a novel method to estimate the average treatment effect using panel data. In this paper, we accomplish the following: (i) We relax some of the distributional assumptions made in HCW and show that the HCW method works for a much wider range of data generating processes; (ii) We derive the asymptotic distribution of HCW’s average treatment effect estimator which facilitates inference; (iii) When there exists a large number of control units,…

潜在结果联合分布泛函的部分识别AI 解读

In this paper, we present a systematic study of partial identification of two general classes of functionals of the joint distribution of two “potential outcomes” when a bivariate sample from the joint distribution is not available to the econometrician. Assuming the identification of the conditional marginal distributions of potential outcomes and the distribution of the covariate vector, we show that the identified sets for functionals in both classes are intervals and…

因子增广面板回归中 CCE 估计的秩条件作用AI 解读

A popular approach to factor-augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). This paper points to a problem with the CCE approach that appears in the empirically relevant case when the number of factors is strictly less than the number of observables used in their estimation. Specifically, the use of too many observables causes the second moment matrix of the estimated factors to become asymptotically singular, an issue that…

住房净值融资可得性与消费：来自政策实验的证据AI 解读

Using unique consumer financial transactions of more than 56,000 consumers, we study the consumption response to a housing policy experiment in Singapore that resulted in a decrease in access to home equity. Using difference-in-differences analysis, we find a significant negative consumption response to the policy shock. Moreover, the consumption response is concentrated in credit card spending and is stronger among individuals with limited access to credit market or with a…

具有半参数相关效应的惩罚分位数回归：异质性偏好应用AI 解读

Summary This paper proposes new ℓ 1 ‐penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. Existing fixed‐effects estimators can potentially suffer from three limitations which are overcome by the proposed approach: (i) incidental parameters bias in nonlinear models with large N and small T ; (ii) lack of efficiency; and (iii) inability to estimate the effects of time‐invariant regressors. We…

混合 Logit 模型中古典与贝叶斯估计的差异：复现研究AI 解读

Summary The mixed logit model is widely used in applied econometrics. Researchers typically rely on the free choice between the classical and Bayesian estimation approach. However, empirical evidence of the similarity of their parameter estimates is sparse. The presumed similarity is mainly based on one empirical study that analyzes a single dataset (Huber J, Train KE. 2001. On the similarity of classical and Bayesian estimates of individual mean partworths. Marketing…

不同时点的状态转变：空间probit方法AI 解读

Summary This paper adopts a spatial probit approach to explain interaction effects among cross‐sectional units when the dependent variable takes the form of a binary response variable and transitions from state 0 to 1 occur at different moments in time. The model has two spatially lagged variables: one for units that are still in state 0 and one for units that had already transferred to state 1. The parameters are estimated on observations for those units that are still in…

小单位中的群体隔离测度：部分识别分析AI 解读

We consider the issue of measuring segregation in a population of small units, considering establishments in our application. Each establishment may have a different probability of hiring an individual from the minority group. We define segregation indices as inequality indices on these unobserved, random probabilities. Because these probabilities are measured with error by proportions, standard estimators are inconsistent. We model this problem as a nonparametric binomial…

竞买人不对称的升价拍卖AI 解读

We present a partial identification approach for ascending auctions with bidder asymmetries, where bidders' asymmetric types may be unobservable to the econometrician. Our approach yields sharp bounds and builds on and generalizes other recent bounds approaches for correlated private values ascending auctions. When bidder identities are observable, our approach yields tighter bounds than previous approaches that ignore asymmetry, demonstrating that bidder asymmetries can…

异质性家庭分配规则识别札记AI 解读

In this note, we address nonparametric identification of a collective model of household behavior in the presence of additive unobserved heterogeneity in the sharing rule. We show that the (nonstochastic part of the) sharing rule is nonparametrically identified. Moreover, under independence assumptions, individual Engel curves and the random distributions are identified except in special cases (i.e., linear Engel curves).