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劳动市场排序均衡模型的识别AI 解读

We assess the empirical content of equilibrium models of labor market sorting based on unobserved (to economists) characteristics. In particular, we show theoretically that all parameters of the classic model of sorting based on absolute advantage in Becker, 1973 with search frictions can be nonparametrically identified using only matched employer–employee data on wages and labor market transitions. In particular, these data are sufficient to nonparametrically estimate the…

非对称最小二乘回归的高维推广及其应用AI 解读

Asymmetric least squares regression is an important method that has wide applications in statistics, econometrics and finance. The existing work on asymmetric least squares only considers the traditional low dimension and large sample setting. In this paper, we systematically study the Sparse Asymmetric LEast Squares (SALES) regression under high dimensions where the penalty functions include the Lasso and nonconvex penalties. We develop a unified efficient algorithm for…

通过图示干预层级统一因果推断AI 解读

Identifying causal parameters from observational data is fraught with subtleties due to the issues of selection bias and confounding. In addition, more complex questions of interest, such as effects of treatment on the treated and mediated effects may not always be identified even in data where treatment assignment is known and under investigator control, or may be identified under one causal model but not another. Increasingly complex effects of interest, coupled with a…

高斯转换机制模型中潜在结果相关系数的推断AI 解读

We propose estimators of sharp bounds on the correlation coefficient between potential outcomes in the Gaussian switching regime model and develop an asymptotically uniformly valid and non-conservative confidence set for the true correlation coefficient. A boundary-interior-category selection procedure is proposed to deal with discontinuity of the pointwise asymptotic distribution of estimators of the sharp bounds. Our confidence set is easy to implement: it takes the form…

结构模型中随机系数分布估计的简便非参数方法AI 解读

We explore least squares and likelihood nonparametric mixtures estimators of the joint distribution of random coefficients in structural models. The estimators fix a grid of heterogeneous parameters and estimate only the weights on the grid points, an approach that is computationally attractive compared to alternative nonparametric estimators. We provide conditions under which the estimated distribution function converges to the true distribution in the weak topology on the…

具有非负外部性的成对稳定网络的结构估计AI 解读

This paper develops a framework to structurally estimate pairwise stable networks with nonnegative externality. We characterize pairwise stable equilibria as a fixed point of a certain mapping and show that the set of pairwise stable equilibria with nonnegative externality is a complete lattice. We extend the characterization to an econometric framework for structural estimation based on the moment inequality model. We apply our methodology to friendship networks of students…

具有门槛效应与内生性的动态面板模型AI 解读

This paper addresses an important issue of modeling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data framework, simultaneously. As a general approach, we develop the first-differenced GMM estimator, which allows both threshold variable and regressors to be endogenous. When the threshold variable becomes strictly exogenous, we propose a more efficient two-step least squares estimator. We provide asymptotic theory and develop…

存在误分类的混合检测现状数据AI 解读

Group testing, introduced by Dorfman (1943), has been used to reduce costs when estimating the prevalence of a binary characteristic based on a screening test of $k$ groups that include $n$ independent individuals in total. If the unknown prevalence is low and the screening test suffers from misclassification, it is also possible to obtain more precise prevalence estimates than those obtained from testing all $n$ samples separately (Tu et al., 1994). In some applications,…

存在干扰时的逆概率加权估计量AI 解读

We consider inference about the causal effect of a treatment or exposure in the presence of interference, i.e., when one individual's treatment affects the outcome of another individual. In the observational setting where the treatment assignment mechanism is not known, inverse probability-weighted estimators have been proposed when individuals can be partitioned into groups such that there is no interference between individuals in different groups. Unfortunately this…

工具变量相关随机系数模型的识别AI 解读

We study identification and estimation of the average partial effect in an instrumental variable correlated random coefficients model with continuously distributed endogenous regressors. This model allows treatment effects to be correlated with the level of treatment. The main result shows that the average partial effect is identified by averaging coefficients obtained from a collection of ordinary linear regressions that condition on different realizations of a control…

债权人权利是否增加就业风险？来自贷款契约的证据AI 解读

ABSTRACT Using a regression discontinuity design, we provide evidence that there are sharp and substantial employment cuts following loan covenant violations, when creditors gain rights to accelerate, restructure, or terminate a loan. The cuts are larger at firms with higher financing frictions and with weaker employee bargaining power, and during industry and macroeconomic downturns, when employees have fewer job opportunities. Union elections that create new labor…

非线性面板固定效应估计的 Bootstrap 与 k 步 Bootstrap 偏差修正AI 解读

Because of the incidental parameters problem, the fixed effects maximum likelihood estimator in a nonlinear panel data model is in general inconsistent when the time series length T is short and fixed. Even if T approaches infinity but at a rate not faster than the cross sectional sample size n , the fixed effects estimator is still asymptotically biased. This paper proposes using the standard bootstrap and k -step bootstrap to correct the bias. We establish the asymptotic…

灵活的非参数条件独立检验AI 解读

This paper proposes a nonparametric test for conditional independence that is easy to implement, yet powerful in the sense that it is consistent and achieves n −1/2 local power. The test statistic is based on an estimator of the topological “distance” between restricted and unrestricted probability measures corresponding to conditional independence or its absence. The distance is evaluated using a family of Generically Comprehensively Revealing (GCR) functions, such as the…

未观测异质性的 Neyman C(α) 检验AI 解读

A unified framework is proposed for tests of unobserved heterogeneity in parametric statistic models based on Neyman’s C( α ) approach. Such tests are irregular in the sense that the first order derivative of the log likelihood with respect to the heterogeneity parameter is identically zero, and consequently the conventional Fisher information about the parameter is zero. Nevertheless, local asymptotic optimality of the C( α ) tests can be established via LeCam’s…

利用不变预测进行因果推断：识别与置信区间AI 解读

Summary What is the difference between a prediction that is made with a causal model and that with a non-causal model? Suppose that we intervene on the predictor variables or change the whole environment. The predictions from a causal model will in general work as well under interventions as for observational data. In contrast, predictions from a non-causal model can potentially be very wrong if we actively intervene on variables. Here, we propose to exploit this invariance…

具有高维矩等式的计量经济学估计AI 解读

We consider a nonlinear structural model in which the number of moments is not limited by the sample size. The econometric problem here is to estimate and perform inference on a finite-dimensional parameter. To handle the high dimensionality, we must systematically choose a set of informative moments; in other words, delete the uninformative ones. In nonlinear models, a consistent estimator is a prerequisite for moment selection. We develop in this paper a novel two-step…

多元正态及相关分布下最大值期望的高效分解AI 解读

In structural dynamic discrete choice models, Monte Carlo integration has been the only way to evaluate the expectation of the maximum when errors are normally distributed. In this paper, however, I show that the expectation of the maximum can be decomposed as a linear combination of multivariate normal CDFs. For related distributions, such as the multivariate t-distribution, this expectation has a similar decomposition. My computational results show speed benefits of my…

高维相关随机效应面板模型中的预言不等式、变量选择与一致有效推断AI 解读

In this paper we study high-dimensional correlated random effects panel data models. Our setting is useful as it allows including time invariant covariates as under random effects yet allows for correlation between covariates and unobserved heterogeneity as under fixed effects. We use the Mundlak–Chamberlain device to model this correlation. Allowing for a flexible correlation structure naturally leads to a high-dimensional model in which least squares estimation easily…

无处理无混杂性条件下有序处理模型的平均处理效应识别AI 解读

We show identification of the Average Treatment Effect (ATE) when treatment is specified by ordered choice in cross section or panel models. Treatment is determined by location of a latent variable (containing a continuous instrument) relative to two or more thresholds. We place no functional form restrictions on latent errors and potential outcomes. Unconfoundedness of treatment does not hold and identification at infinity for the treated is not possible. Yet we still show…

含非期望产出的随机方向性技术距离函数：成本系统方法与美国银行应用AI 解读

Summary This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF)‐based formulation of banking technology which explicitly accommodates the presence of undesirable nonperforming loans—an inherent characteristic of the bank's production due to its exposure to credit risk. Specifically, we model nonperforming loans as an undesirable output in the bank's production process. Since the stochastic DTDF describing…

异常值稳健的贝叶斯多项选择模型AI 解读

Summary A Bayesian method for outlier‐robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives and guarantees robustness towards outliers in the dependent and independent variables. To account for outliers in the response direction, the fat‐tailed multivariate Laplace distribution is used. Leverage points are handled via a shrinkage procedure. A simulation study shows that estimation…

欧拉方程估计：子女与信贷约束AI 解读

Conventional estimators based on the consumption Euler equation, intensively used in studies of intertemporal consumption behavior, produce biased estimates of the effect of children on the marginal utility of consumption if consumers face credit constraints. As a more constructive contribution, I propose a tractable approach to obtaining bounds on the effect of children on the marginal utility of consumption. I estimate these bounds using the Panel Study of Income Dynamics…

有序行动博弈的估计：连锁店进入的应用AI 解读

We study the estimation of static games where players are allowed to have ordered actions, such as the number of stores to enter into a market. Assuming that payoff functions satisfy general shape restrictions, we show that equilibrium of the game implies a covariance restriction between each player's action and a component of the player's payoff function that we call the strategic index. The strategic index captures the direction of strategic interaction (i.e., patterns of…

利用含测量误差协变量的函数进行因果匹配与加权AI 解读

Matching estimators are commonly used to estimate causal effects in nonexperimental settings. Covariate measurement error can be problematic for matching estimators when observational treatment groups differ on latent quantities observed only through error-prone surrogates. We establish necessary and sufficient conditions for matching and weighting with functions of observed covariates to yield unconfounded causal effect estimators, generalizing results from the standard…