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删失与内生性下的处理效应AI 解读

This article develops a nonparametric approach to identification and estimation of treatment effects on censored outcomes when treatment may be endogenous and have arbitrarily heterogenous effects. Identification is based on an instrumental variable that satisfies the exclusion and monotonicity conditions standard in the local average treatment effects framework. The article proposes a censored quantile treatment effects estimator, derives its asymptotic distribution, and…

测量误差下删失分位数回归的平滑与校正得分方法AI 解读

Censored quantile regression is an important alternative to the Cox proportional hazards model in survival analysis. In contrast to the usual central covariate effects, quantile regression can effectively characterize the covariate effects at different quantiles of the survival time. When covariates are measured with errors, it is known that naively treating mismeasured covariates as error-free would result in estimation bias. Under censored quantile regression, we propose…

Dynamic networks are used in a variety of fields to represent the structure and evolution of the relationships between entities. We present a model which embeds longitudinal network data as trajectories in a latent Euclidean space. We propose Markov chain Monte Carlo (MCMC) algorithm to estimate the model parameters and latent positions of the actors in the network. The model yields meaningful visualization of dynamic networks, giving the researcher insight into the…

连续处理效应的一致半参数有效估计AI 解读

This article studies identification, estimation, and inference of general unconditional treatment effects models with continuous treatment under the ignorability assumption. We show identification of the parameters of interest, the dose–response functions, under the assumption that selection to treatment is based on observables. We propose a semiparametric two-step estimator, and consider estimation of the dose–response functions through moment restriction models with…

样本选择与不依从下的处理效应界：Job Corps的工资影响AI 解读

Randomized and natural experiments are commonly used in economics and other social science fields to estimate the effect of programs and interventions. Even when employing experimental data, assessing the impact of a treatment is often complicated by the presence of sample selection (outcomes are only observed for a selected group) and noncompliance (some treatment group individuals do not receive the treatment while some control individuals do). We address both of these…

用于处理效应估计的协变量选择准则AI 解读

We study how to select or combine estimators of the average treatment effect (ATE) and the average treatment effect on the treated (ATT) in the presence of multiple sets of covariates. We consider two cases: (1) all sets of covariates satisfy the unconfoundedness assumption and (2) some sets of covariates violate the unconfoundedness assumption locally. For both cases, we propose a data-driven covariate selection criterion (CSC) to minimize the asymptotic mean squared errors…

大量无效工具变量下的识别与推断AI 解读

We study estimation and inference in settings where the interest is in the effect of a potentially endogenous regressor on some outcome. To address the endogeneity, we exploit the presence of additional variables. Like conventional instrumental variables, these variables are correlated with the endogenous regressor. However, unlike conventional instrumental variables, they also have direct effects on the outcome, and thus are “invalid” instruments. Our novel identifying…

条件平均处理效应的估计AI 解读

We consider a functional parameter called the conditional average treatment effect (CATE), designed to capture the heterogeneity of a treatment effect across subpopulations when the unconfoundedness assumption applies. In contrast to quantile regressions, the subpopulations of interest are defined in terms of the possible values of a set of continuous covariates rather than the quantiles of the potential outcome distributions. We show that the CATE parameter is…

超高维数据的全局自适应分位数回归AI 解读

Quantile regression has become a valuable tool to analyze heterogeneous covaraite-response associations that are often encountered in practice. The development of quantile regression methodology for high-dimensional covariates primarily focuses on the examination of model sparsity at a single or multiple quantile levels, which are typically prespecified ad hoc by the users. The resulting models may be sensitive to the specific choices of the quantile levels, leading to…

回归函数单点的自适应检验AI 解读

We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Hölder classes, up to a $\log\log n$ term, which we show to be necessary for adaptation. We apply the results to adaptive one-sided tests for the regression discontinuity parameter under a monotonicity restriction, the value of a monotone…

重复测量结果的函数单指标广义部分线性模型：核与样条融合平滑AI 解读

We propose a generalized partially linear functional single index risk score model for repeatedly measured outcomes where the index itself is a function of time. We fuse the nonparametric kernel method and regression spline method, and modify the generalized estimating equation to facilitate estimation and inference. We use local smoothing kernel to estimate the unspecified coefficient functions of time, and use B-splines to estimate the unspecified function of the single…

利用分位数进行面板非参数识别AI 解读

This paper considers identification and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest are derivatives of the average and quantile structural functions of the model. We find that these derivatives are identified with two time periods for “stayers”, i.e. for individuals with the same regressor values in two time periods. We show that the identification results carry over to models that…

具有固定效应的异质面板半参数模型AI 解读

This paper develops methodology for semiparametric panel data models in a setting where both the time series and the cross section are large. Such settings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as unobserved time and individual specific effects that may depend on the covariates in an arbitrary way. To model the covariate effects parsimoniously, we impose a dimensionality reducing common…

时间聚合数据下动态离散模型的估计AI 解读

An important component in dynamic discrete choice models and dynamic discrete games is the transition density of state variables from the current period to the next period. Most empirical dynamic discrete choice models identify the theoretical time interval in the behavioral model with that observed in the data set. However, many empirical data sets are time aggregated. In this paper, we show that when the time interval in the behavioral theory model differs from that in the…

非参数条件分位数导数函数估计中的最优平滑AI 解读

Marginal effect in nonparametric quantile regression is of special interest as it quantitatively measures how one unit change in explanatory variable heterogeneously affects dependent variable ceteris paribus at distinct quantiles. In this paper, we propose a data-driven bandwidth selection procedure based on the gradient of an unknown quantile regression function. Our method delivers the bandwidth with the oracle property in the sense that it is asymptotically equivalent to…

处理效应估计：中国2008年经济刺激计划案例AI 解读

Researchers often face the challenge of estimating the counterfactuals to evaluate the treatment effects. Hsiao et al. (2012) propose a method that offers more flexibilities by allowing the influence of the unobservable latent factors to vary cross-section. This paper relaxes the linear conditional mean assumption in their method by extending it to a semi-parametric setting. The asymptotic distribution properties of the average treatment effect estimator is derived and…

存在附带参数时的模型选择AI 解读

This paper considers model selection in panels where incidental parameters are present. Primary interest centers on selecting a model that best approximates the underlying structure involving parameters that are common within the panel. It is well known that conventional model selection procedures are often inconsistent in panel models and this can be so even without nuisance parameters. Modifications are then needed to achieve consistency. New model selection information…

含弱外生解释变量的异质动态面板共同相关效应估计AI 解读

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variables and/or weakly exogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must be satisfied to deal with the dynamics: a sufficient number of lags of cross section averages must be included in individual equations of the panel, and the number of cross section…

固定效应面板部分指定Tobit回归的估计AI 解读

This paper presents an estimation of a partly specified Tobit model with fixed effects by extending the symmetric trimming procedure proposed in Honoré (1992). Under some sufficient conditions, we present conditions to identify both the parametric and the nonparametric component of the unknown parameter. Under some sufficient conditions, we establish that the proposed estimates are consistent and the estimates of the parametric component are asymptotically normally…

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…

固定效应非参数面板模型中的误差序列相关检验AI 解读

In this paper we consider the problem of testing serial correlation in fixed effects panel data model in a nonparametric framework. Using asymptotic results developed in Su and Lu (2013), we show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of N under the alternative hypothesis that error is serially correlated, where N is the cross sectional sample size.…

固定效应面板非参数回归AI 解读

Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specific components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices are justified for both estimates. Feasible optimal bandwidths, and feasible optimal regression…

二元响应相关随机系数面板模型AI 解读

In this paper, we consider binary response correlated random coefficient (CRC) panel data models which are frequently used in the analysis of treatment effects and demand of products. We focus on the nonparametric identification and estimation of panel data models under unobserved heterogeneity which is captured by random coefficients and when these random coefficients are correlated with regressors. Our identification conditions and estimation are based on the framework of…

消费中的双侧幂律及其对欧拉方程检验的影响AI 解读

We provide evidence suggesting that the cross-sectional distributions of US consumption and its growth rate obey the power law in both the upper and lower tails, with exponents approximately equal to four. Consequently, high-order moments are unlikely to exist, and the generalized method of moments estimation of Euler equations that employs cross-sectional moments may be inconsistent. Through bootstrap studies, we find that the power law appears to generate spurious…