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利用分布不连续协变量检验基于可观测变量的选择假设AI 解读

We present a test of the selection on observables assumption that neither requires instruments nor excluded covariates from the structural function. Instead, we rely on the presence of a discontinuously distributed variable among the set of controls. We develop formal testing procedures for a non-parametric additively separable model for binary and finite treatment variables. We also outline a nonparametric nonseparable extension. Our test is easy to implement and should be…

完全信息有序反应博弈中的推断AI 解读

We study inference in complete information games with discrete strategy spaces. Unlike binary games, we allow for rich strategy spaces and we only assume that they are ordinal in nature. We derive observable implications of equilibrium play under mild shape restrictions on payoff functions, and we characterize sharp identified sets for model parameters. We propose a novel inference method based on a test statistic that embeds conditional moment inequalities implied by…

参数存在跳跃不连续的面板模型：小波方法AI 解读

While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with multiple structural changes is proposed. The breaks are allowed to occur at unknown points in time and may affect the multivariate slope parameters individually. Our method adapts Haar wavelets to the structure of the observed variables in order…

半参数模型系数的识别及集体家庭模型应用AI 解读

We prove identification of coefficients for a set of semiparametric specifications that are related to multiple index models. Potential applications of these results include models of observed heterogeneity in production functions and in consumer demand systems. We then generalize these results to identify a class of collective household consumption models. We extend the existing literature by proving point identification, rather than the weaker generic identification, of…

不可观测选择集下的多项选择模型估计AI 解读

This paper proposes a new approach to estimating multinomial choice models when each consumer’s actual choice set is unobservable but could be bounded by two known sets, i.e., the largest and smallest possible choice sets. The bounds on choice set, combined with a monotonicity property derived from utility maximization, imply a system of inequality restrictions on observed choice probabilities that could be used to identify and estimate the model. A key insight is that the…

由数学规划定义的估计量的统计推断AI 解读

We propose an inference procedure for a class of estimators defined as the solutions to linear and convex quadratic programming problems in which the coefficients in both the objective function and the constraints of the problem are estimated from data and hence involve sampling error. We argue that the Karush–Kuhn–Tucker conditions that characterize the solutions to these programming problems can be treated as moment conditions; by doing so, we transform the problem of…

含不可观测异质性与多重均衡的动态博弈识别AI 解读

This paper provides sufficient conditions for nonparametrically identifying dynamic games with incomplete information, allowing for multiple equilibria and payoff-relevant unobservables. Our identification involves two steps. We first identify the equilibrium conditional choice probabilities and state transitions using the Markov property and four-period data. The first step of our identification relies on eigenvalue-eigenvector decomposition, and thus incurs the same issue…

第一价格密封拍卖中的风险厌恶检验AI 解读

We consider testing for risk aversion in first-price sealed-bid auctions with symmetric bidders and independent private values. We impose several restrictions on the parameter space, which are all implied by Guerre et al. (2009)’s exclusion restriction, and we articulate what restrictions are needed for our test to control the limiting size and to be pointwise consistent. Critical values can be obtained from the standard normal distribution. We also analyze local-power…

第一价格拍卖的分位数回归方法AI 解读

The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a quantile regression for the bids. The private-value quantile regression can be easily estimated from the bid quantile regression and its derivative with respect to the quantile level. This also allows to test for various specification or…

具有单调控制函数的样本选择模型AI 解读

The celebrated Heckman selection model yields a selection correction function (control function) proportional to the inverse Mills ratio, which is monotone. This paper studies a sample selection model that does not impose parametric distributional assumptions on the latent error terms, while maintaining the monotonicity of the control function. We show that a positive (negative) dependence condition on the latent error terms is sufficient for the monotonicity of the control…

连续非经典测量误差下非参数单调回归模型的识别AI 解读

This paper provides sufficient conditions for identification of a nonparametric regression model with an unobserved continuous regressor subject to nonclassical measurement error. The measurement error may be directly correlated with the latent regressor in the model. Our identification strategy does not require the availability of additional data information, such as a secondary measurement, an instrumental variable, or an auxiliary sample. Our main assumptions for…

利用成对比较估计不可观测个体异质性AI 解读

We propose a new method for studying environments with unobserved individual heterogeneity. Based on model-implied pairwise inequalities, the method classifies individuals in the sample into groups defined by discrete unobserved heterogeneity with unknown support. We establish conditions under which the groups are identified and consistently estimated through our method. We show that the method performs well in finite samples through Monte Carlo simulation. We then apply the…

气候政策的实体效应：融资约束与溢出AI 解读

We document that localized policies aimed at mitigating climate risk can have unintended consequences due to regulatory arbitrage by firms. Using a difference-in-differences framework to study the impact of the California cap-and-trade program with U.S. plant-level data, we show that financially constrained firms shift emissions and output from California to other states where they have similar plants that are underutilized. By contrast, unconstrained firms do not make such…

注意力触发与投资者风险承担AI 解读

This paper investigates how individual attention triggers influence financial risk-taking based on a large sample of trading records from a brokerage service that sends standardized push messages on stocks to retail investors. By exploiting the data in a difference-in-differences (DID) setting, we find attention triggers increase investors’ risk-taking. Our DID coefficient implies attention trades carry, on average, a 19 percentage-point-higher leverage than non-attention…

基于高频数据的单位根检验AI 解读

Deviations of asset prices from the random walk dynamic imply the predictability of asset returns and thus have important implications for portfolio construction and risk management. This paper proposes a real-time monitoring device for such deviations using intraday high-frequency data. The proposed procedures are based on unit root tests with in-fill asymptotics but extended to take the empirical features of high-frequency financial data (particularly jumps) into…

多变点模型中的广义拉普拉斯推断AI 解读

Under the classical long-span asymptotic framework, we develop a class of generalized laplace (GL) inference methods for the change-point dates in a linear time series regression model with multiple structural changes analyzed in, e.g., Bai and Perron (1998, Econometrica 66, 47–78). The GL estimator is defined by an integration rather than optimization-based method and relies on the LS criterion function. It is interpreted as a classical (non-Bayesian) estimator, and the…

比值矩的估计与推断：对大幅修剪偏差的稳健处理AI 解读

Researchers often trim observations with small values of the denominator A when they estimate moments of the form $\mathbb {E}[B/A]$ . Large trimming is common in practice to reduce variance, but it incurs a large bias. This paper provides a novel method of correcting the large trimming bias. If a researcher is willing to assume that the joint distribution between A and B is smooth, then the trimming bias may be estimated well. Along with the proposed bias correction method,…

一类 BEKK 过程的尾部行为：随机递推方程方法AI 解读

We consider conditions for strict stationarity and ergodicity of a class of multivariate BEKK processes $(X_t : t=1,2,\ldots )$ and study the tail behavior of the associated stationary distributions. Specifically, we consider a class of BEKK-ARCH processes where the innovations are assumed to be Gaussian and a finite number of lagged $X_t$ ’s may load into the conditional covariance matrix of $X_t$ . By exploiting that the processes have multivariate stochastic recurrence…

基于重复测量的反卷积估计量的一致收敛AI 解读

This paper studies the uniform convergence rates of Li and Vuong’s (1998, Journal of Multivariate Analysis 65, 139–165; hereafter LV) nonparametric deconvolution estimator and its regularized version by Comte and Kappus (2015, Journal of Multivariate Analysis 140, 31–46) for the classical measurement error model, where repeated noisy measurements on the error-free variable of interest are available. In contrast to LV, our assumptions allow unbounded supports for the…

分布相等的光滑检验AI 解读

This note re-investigates the smooth tests for the equality of distributions introduced by Bera et al. (2013, Econometric Theory 29, 419–446) and provides a modified smooth test which works for the general case with two sample sizes m and n . Asymptotic properties of the proposed test statistic under both the null and the alternative hypothesis are studied.

准实验移位份额研究设计AI 解读

Abstract Many studies use shift-share (or “Bartik”) instruments, which average a set of shocks with exposure share weights. We provide a new econometric framework for shift-share instrumental variable (SSIV) regressions in which identification follows from the quasi-random assignment of shocks, while exposure shares are allowed to be endogenous. The framework is motivated by an equivalence result: the orthogonality between a shift-share instrument and an unobserved residual…

动态治疗方案：精准医疗的统计方法AI 解读

Dynamic treatment regimes (DTRs) are used for managing chronic disease, and fit nicely into the larger paradigm of precision medicine. There is an increasing focus on methodology for dynamic treatm...

从固定设计到随机设计回归：偏差—方差分解、协方差惩罚与预测误差估计——更正AI 解读

Saharon Rosseta and Ryan J. TibshiranibaDepartment of Statistics and Operations Research, Tel Aviv University, Tel Aviv, Israel; bDepartment of Statistics and Data Science, Carnegie Mellon Universi...

带标记仅出现数据建模：马拉维女性性工作者规模估计AI 解读

Certain subpopulations like female sex workers (FSW), men who have sex with men (MSM), and people who inject drugs (PWID) often have higher prevalence of HIV/AIDS and are difficult to map directly due to stigma, discrimination, and criminalization. Fine-scale mapping of those populations contributes to the progress towards reducing the inequalities and ending the AIDS epidemic. In 2016 and 2017, the PLACE surveys were conducted at 3,290 venues in 20 out of the total 28…