论文检索

半参数 GARCH 模型的自适应推断AI 解读

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and then estimate the non-time-varying parameters in GARCH-type short run component by the quasi maximum likelihood estimator (QMLE). We show that the QMLE is asymptotically normal with the parametric convergence rate. Next, we construct a…

时变工具变量估计AI 解读

We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman exogeneity test. After deriving the asymptotic properties of the proposed procedures, we assess their finite sample performance by means of a set of Monte Carlo experiments, and illustrate…

网络形成的计量模型：企业董事交叉任职应用AI 解读

We study identification of the players’ preferences in a network formation game featuring complete information, nonreciprocal links, and a spillover effect. We decompose the network formation game into local games such that the network formation game is in equilibrium if and only if each local game is in equilibrium. This decomposition helps us prove equilibrium existence, reduce the number of moment inequalities characterising the identified set, and simplify the…

零常返时间序列中的稳健非线性回归估计AI 解读

In this article, we study parametric robust estimation in nonlinear regression models with regressors generated by a class of non-stationary and null recurrent Markov processes. The nonlinear regression functions can be either integrable or asymptotically homogeneous, covering many commonly-used functional forms in parametric nonlinear regression. Under regularity conditions, we derive both the consistency and limit distribution results for the developed general robust…

空间横截面与面板模型的同方差诊断检验AI 解读

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS–OPMD method leads to finite sample improved tests over the usual…

基于指数倾斜 Hellinger 距离的稳健估计AI 解读

This paper is concerned with estimation of parameters defined by moment equalities. We introduce the exponentially tilted Hellinger distance (ETHD) estimator which is efficient under correct specification, and robust to both global and local misspecification. In the spirit of Schennach (2007), ETHD combines the Hellinger distance and the Kullback–Leibler information criterion. We show that it achieves optimal minimax robust properties under local deviations from the model…

孩子引领改变：风险投资中的性别多样性与业绩AI 解读

Given overall lack of gender diversity in the venture capital and entrepreneurship industry shown in Calder-Wang and Gompers (2017) we ask: What promotes greater gender diversity in hiring? Does diversity lead to better firm performance and higher investment returns? In this paper, using a unique dataset of the gender of venture capital partners’ children, we find strong evidence that when partners have more daughters, the propensity to hire female partners increases.…

宏观与金融不确定性及波动率的对冲AI 解读

We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premiums. Empirically, however, uncertainty risk premiums are positive in most markets. Instead, it is the realization of large shocks to fundamentals that has historically carried a negative premium. In other words, we find that the return…

定向货币政策与银行贷款行为AI 解读

We exploit an allocation rule set by the ECB for the first series of TLTROs to study the effects of targeted monetary policy on banks’ credit supply to firms. Combining transaction-level data from the Italian credit register and an instrumental variable identification strategy, we find that targeted longer-term central bank liquidity decreased rates and increased loan amounts, also avoiding some unintended consequences of untargeted measures, such as carry-trade strategies…

有效买卖价差的测量偏误AI 解读

The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%–18% for S&P 500 stocks in general, depending on the estimator used as benchmark, and up to 97% for low-priced stocks. Cross-sectional bias variation across stocks, trading venues, and investor groups can influence research inference. The use of the midpoint also undermines…

回归梯度中显著变量的非参数检验AI 解读

We propose a nonparametric test of significant variables in the partial derivative of a regression mean function. The derivative is estimated by local polynomial estimation and the test statistic is constructed through a variation-based measure of the derivative in the direction of variables of interest. We establish the asymptotic null distribution of the test statistic and demonstrate that it is consistent. Motivated by the null distribution, we propose a wild bootstrap…

测量误差下的平均导数估计AI 解读

In this paper, we derive the asymptotic properties of the density-weighted average derivative estimator when a regressor is contaminated with classical measurement error and the density of this error must be estimated. Average derivatives of conditional mean functions are used extensively in economics and statistics, most notably in semiparametric index models. As well as ordinary smooth measurement error, we provide results for supersmooth error distributions. This is a…

因子模型的极限定理AI 解读

This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous microparameters estimated separately for each entity. The CLT applies for quantities involving both cross-sectional and time series aggregation, as well as for quadratic…

具有无限方差 GARCH 误差的非平稳线性过程AI 解读

Recently, Cavaliere, Georgiev, and Taylor (2018, Econometric Theory 34, 302–348) (CGT) considered the augmented Dickey–Fuller (ADF) test for a unit-root model with linear noise driven by i.i.d. infinite variance innovations and showed that ordinary least squares (OLS)-based ADF statistics have the same distribution as in Chan and Tran (1989, Econometric Theory 5, 354–362) for i.i.d. infinite variance noise. They also proposed an interesting question to extend their results…

利用截断双幂增量估计跳跃扩散的波动率函数AI 解读

In this article, we introduce and analyze a new methodology to estimate the volatility functions of jump diffusion models. Our methodology relies on the standard kernel estimation technique using truncated bipower increments. The relevant asymptotics are fully developed, allowing for the time span to increase as well as the sampling interval to decrease, and accommodate both stationary and nonstationary recurrent processes. We evaluate the performance of our estimators by…

欧拉方程的非参数识别与估计AI 解读

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption-based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness). We also propose a novel nonparametric estimator based on our identification analysis, which combines standard…

利用约束优化计算矩不等式模型AI 解读

Summary Inference for moment inequality models is computationally demanding and often involves time-consuming grid search. By exploiting the equivalent formulations between unconstrained and constrained optimization, we establish new ways to compute the identified set and its confidence set in moment inequality models that overcome some of these computational hurdles. In simulations, using both linear and nonlinear moment inequality models, we show that our method…

最大秩相关估计量的精确计算AI 解读

Summary In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construct a new constrained optimization problem by transforming all indicator functions into binary parameters to be estimated and show that it is equivalent to the original problem. We also consider an application of the best subset rank prediction and show that the original optimization problem…

混合 Logit 模型的稀疏协方差估计AI 解读

Summary This paper introduces a new data-driven methodology for estimating sparse covariance matrices of the random coefficients in logit mixture models. Researchers typically specify covariance matrices in logit mixture models under one of two extreme assumptions: either an unrestricted full covariance matrix (allowing correlations between all random coefficients), or a restricted diagonal matrix (allowing no correlations at all). Our objective is to find optimal subsets of…

半参数回归的统一推断AI 解读

Summary In the literature, a discrepancy in the limiting distributions of least square estimators between the stationary and nonstationary cases exists in various regression models with different persistence level regressors. This hinders further statistical inference since one has to decide which distribution should be used next. In this paper, we develop a semiparametric partially linear regression model with stationary and nonstationary regressors to attenuate this…

相关随机效应非线性面板模型中的偏效应AI 解读

Summary Nonlinearity and heterogeneity are known to cause difficulties in estimating and interpreting partial effects. This paper provides a systematic characterization of the various partial effects in nonlinear panel data models that might be of interest to empirical researchers. The interpretation of the partial effects depends upon (i) whether the distribution of unobserved heterogeneity is treated as fixed or allowed to vary with covariates, and (ii) whether one is…

处理变量二值化后的工具变量估计：排除限制问题与检验AI 解读

Summary When estimating local average and marginal treatment effects using instrumental variables (IVs), multivalued endogenous treatments are frequently converted to binary measures, supposedly to improve interpretability or policy relevance. Such binarisation introduces a violation of the IV exclusion if (a) the IV affects the multivalued treatment within support areas below and/or above the threshold and (b) such IV-induced changes in the multivalued treatment affect the…

无需均值平稳假设的识别：含内生解释变量动态面板模型的拟极大似然估计AI 解读

Summary Linear generalised method of moments (GMM) estimators for dynamic panel models with predetermined or endogenous regressors suffer from a weak instruments problem when the data are highly persistent. In this paper, we propose new random- and fixed-effects limited-information quasi–maximum likelihood estimators (LIQMLEs) for such models. We also discuss LIQMLEs for models that contain time-varying individual effects. Unlike system GMM estimators, the LIQMLEs do not…

阈值依赖协变量的面板折点阈值回归模型AI 解读

Summary This article extends the kink threshold regression model with a constant threshold to a panel data framework with a covariate-dependent threshold, where the threshold is modeled as a function of informative covariates. We suggest an estimator based on the within-group transformation and propose test statistics for kink threshold effect and threshold constancy. We establish the asymptotic joint normality of the slope and threshold estimators and derive the limiting…