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回归折点设计中的分位数处理效应AI 解读

The literature on regression kink designs develops identification results for average effects of continuous treatments (Nielsen et al., 2010, American Economic Journal: Economic Policy 2, 185–215; Card et al., 2015, Econometrica 83, 2453–2483), average effects of binary treatments (Dong, 2018, Jump or Kink? Identifying Education Effects by Regression Discontinuity Design without the Discontinuity), and quantile-wise effects of continuous treatments (Chiang and Sasaki, 2019,…

多极点长记忆时间序列的精确局部 Whittle 估计AI 解读

A generalization of the Exact Local Whittle estimator in Shimotsu and Phillips (2005, Annals of Statistics 33, 1890–1933) is proposed for jointly estimating all the memory parameters in general long memory time series that possibly display standard, seasonal, and/or other cyclical strong persistence. Consistency and asymptotic normality are proven for stationary, nonstationary, and noninvertible series, permitting straightforward standard inference of interesting hypotheses…

短面板相关性的综合检验AI 解读

Inoue and Solon (2006, Econometric Theory 22, 835–851) presented a test against serial correlation of arbitrary form in fixed-effect models for short panel data. Implementing the test requires choosing a regularization parameter that may severely affect power and for which no optimal selection rule is available. We present a modified version of their test that does not require any regularization parameter. Asymptotic power calculations illustrate the improvement of our…

彩票财富对心理福祉的长期影响AI 解读

Abstract We surveyed a large sample of Swedish lottery players about their psychological well-being 5–22 years after a major lottery event and analysed the data following pre-registered procedures. Relative to matched controls, large-prize winners experience sustained increases in overall life satisfaction that persist for over a decade and show no evidence of dissipating over time. The estimated treatment effects on happiness and mental health are significantly smaller.…

高维工具变量模型中的不适定估计AI 解读

This paper is concerned with inference about low-dimensional components of a high-dimensional parameter vector β0 which is identified through instrumental variables. We allow for eigenvalues of the expected outer product of included and excluded covariates, denoted by M, to shrink to zero as the sample size increases. We propose a novel estimator based on desparsification of an instrumental variable Lasso estimator, which is a regularized version of 2SLS with an additional…

具有交互固定效应的面板门槛模型AI 解读

This paper studies estimation and inference in a panel threshold model in the presence of interactive fixed effects. We study the asymptotic properties of the least squares estimators of the regression parameters in the shrinking-threshold-effect framework. We find that under some regularity conditions, the threshold parameter estimator possesses super-consistency in the sense that its estimation error has an asymptotically negligible effect on the asymptotic properties of…

异方差与自相关稳健推断中的检验最优核选择AI 解读

The paper investigates the optimal kernel choice in heteroskedasticity and autocorrelation robust tests based on the fixed-b asymptotics. In parallel with the optimality of the quadratic spectral kernel under the asymptotic mean squared error criterion of the point estimator of the long run variance as considered in Andrews (1991) , we show that the optimality of the quadratic spectral kernel continues to hold under the testing-oriented criterion of Sun, Philips and Jin…

双重稳健的双重差分估计量AI 解读

This article proposes doubly robust estimators for the average treatment effect on the treated (ATT) in difference-in-differences (DID) research designs. In contrast to alternative DID estimators, the proposed estimators are consistent if either (but not necessarily both) a propensity score or outcome regression working models are correctly specified. We also derive the semiparametric efficiency bound for the ATT in DID designs when either panel or repeated cross-section…

适度偏离单位根过程的伪回归与协整稳健推断AI 解读

This paper studies spurious regressions involving processes moderately deviated from a unit root (PMDURs), and establishes the limiting distributions for the least squares estimator, the associated t-statistic, the coefficient of determination R2 and the Durbin–Watson statistic. We find that these limiting distributions critically depend on nuisance parameters that characterize the local deviations from unity, making inference for spurious regressions practically impossible…

高维因子模型中变点的估计与推断AI 解读

In this paper, we consider the estimation of break points in high-dimensional factor models where the unobserved factors are estimated by principal component analysis (PCA). The factor loading matrix is assumed to have a structural break at an unknown time. We establish the conditions under which the least squares (LS) estimator is consistent for the break date. Our consistency result holds for both large and small breaks. We also find the LS estimator’s asymptotic…

时间序列的一致非参数推断AI 解读

This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asymptotic validity of a uniform confidence band for series estimators and show that it can also be used to conduct nonparametric specification test for conditional moment restrictions.…

混合 Logit 模型的设定检验AI 解读

This paper proposes a specification test of the mixed logit models, by generalizing Hausman and McFadden (1984) test. We generalize the test even further by considering a model developed by Berry et al. (1995).

从第一价格拍卖出价非参数识别含买方协变量的相互依赖价值模型AI 解读

This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The model primitives are shown to be nonparametrically identified from first-price auction bids under a testable mild rank condition. Identification holds for all possible signal values. This allows to consider a wide range of counterfactuals…

利率期限结构与通胀不确定性AI 解读

To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflation uncertainty. The resulting yield decomposition captures very diverse macroeconomic dynamics of inflation and real risk premiums (large and positive during the 1980s but small and negative post-2008) and generates sensible high-frequency estimates of expected inflation and real short rates…

误差成分模型中的相关性检验AI 解读

Summary This paper concerns linear models for grouped data with group‐specific effects. We construct a portmanteau test for the null of no within‐group correlation beyond that induced by the group‐specific effect. The approach allows for heteroskedasticity and is applicable to models with exogenous, predetermined, or endogenous regressors. The test can be implemented as soon as three observations per group are available and is applicable to unbalanced data. A test with such…

估计矩条件的信息含量AI 解读

Summary This paper introduces measures for how each moment contributes to the precision of parameter estimates in generalized method of moments settings. For example, one of the measures asks what would happen to the variance of the parameter estimates if a particular moment was dropped from the estimation. The measures are all easy to compute. We illustrate the usefulness of the measures through two simple examples as well as an application to a model of joint retirement…

交互效应下处理效应回归及其他模型中的固定效应去均值AI 解读

Summary The present paper shows that cross‐section demeaning with respect to time fixed effects is more useful than commonly appreciated, in that it enables consistent and asymptotically normal estimation of interactive effects models with heterogeneous slope coefficients when the number of time periods, T , is small and only the number of cross‐sectional units, N , is large. This is important when using OLS but also when using more sophisticated estimators of interactive…

相关随机系数面板模型中处理状态不变者的平均处理效应AI 解读

Summary Correlated random coefficient (CRC) models provide a useful framework for estimating average treatment effects (ATE) with panel data by accommodating heterogeneous treatment effects and flexible patterns of selection. In their simplest form, they lead to the well‐known difference‐in‐differences estimator. CRC models yield estimates of ATE for “movers” (i.e., cross‐sectional units whose treatment status changed over time) while ATE for “stayers” (i.e., cross‐sectional…

过度自信的统计检验：矩不等式方法AI 解读

Summary We propose a moment inequality approach to test for the presence of overconfidence using data from ranking experiments where subjects rank themselves relative to other experimental participants. Although a ranking experiment is a typical way to collect data for the analysis of overconfidence, recent studies show that the resulting data may apparently indicate overconfidence even if participants are purely rational Bayesian updaters, in which case a set of…

基于广义倾向得分加权的连续处理直接效应与间接效应AI 解读

Summary This paper proposes semi‐ and nonparametric methods for disentangling the total causal effect of a continuous treatment on an outcome variable into its natural direct effect and the indirect effect that operates through one or several intermediate variables called mediators jointly. Our approach is based on weighting observations by the inverse of two versions of the generalized propensity score (GPS), namely the conditional density of treatment either given observed…

美国海上油气租赁拍卖中的共同价值、不可观测异质性与内生进入AI 解读

Although an auction of drilling rights is often cited as an example of common values, formal evidence has been limited by the problem of auction-level unobserved heterogeneity. We develop an empirical approach for first-price sealed-bid auctions with affiliated values, unobserved heterogeneity, and endogenous bidder entry. We show that important features of the model are nonparametrically identified and apply a semiparametric estimation approach to data from US offshore oil…

成本相互依赖的拍卖模型识别AI 解读

This paper provides a nonparametric identification result for procurement models with asymmetric bidders, dependent private information, and interdependent costs. For risk-neutral bidders, the model’s payoff-relevant primitives are the joint distribution of private information and each bidder’s full-information expected cost. The joint distribution of bids identifies the joint distribution of signals. First-order conditions identify the expected cost conditional on tying…

对“高维回归的一种免调参、稳健且高效的方法”的讨论AI 解读

Despite considerable progress over the past two decades, a critical gap remains between the theory and applications of penalized estimation procedures for high-dimensional regression. On the one ha...

多元失效时间数据的统计分析：边际建模方法AI 解读

In large studies of public health interventions, individuals are typically at risk of many different types of events. Despite the multitude of events that may arise, a single failure time is often ...