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边疆文化：美国“强烈个人主义”的根源与延续AI 解读

The presence of a westward‐moving frontier of settlement shaped early U.S. history. In 1893, the historian Frederick Jackson Turner famously argued that the American frontier fostered individualism. We investigate the “frontier thesis” and identify its long‐run implications for culture and politics. We track the frontier throughout the 1790–1890 period and construct a novel, county‐level measure of total frontier experience (TFE). Historically, frontier locations had…

This paper proposes a valid bootstrap‐based distributional approximation for M ‐estimators exhibiting a Chernoff (1964)‐type limiting distribution. For estimators of this kind, the standard nonparametric bootstrap is inconsistent. The method proposed herein is based on the nonparametric bootstrap, but restores consistency by altering the shape of the criterion function defining the estimator whose distribution we seek to approximate. This modification leads to a generic and…

We propose leave‐out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An approximation algorithm is provided that enables accurate computation of the estimator in very large data sets. We study the large sample properties of our estimator allowing the number of regressors to grow in proportion to the number of…

This paper analyzes a procedure called Testing‐Based Forward Model Selection (TBFMS) in linear regression problems. This procedure inductively selects covariates that add predictive power into a working statistical model before estimating a final regression. The criterion for deciding which covariate to include next and when to stop including covariates is derived from a profile of traditional statistical hypothesis tests. This paper proves probabilistic bounds, which depend…

This paper considers a class of generalized methods of moments (GMM) estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross‐sectional dependence due to spatial lags, unspecified common shocks, and time‐varying interactive effects. We significantly expand the scope of the existing literature by allowing for endogenous time‐varying spatial weight matrices without imposing explicit structural assumptions on how the weights are formed. An…

The objective of this paper is to identify and estimate network formation models using observed data on network structure. We characterize network formation as a simultaneous‐move game, where the utility from forming a link depends on the structure of the network, thereby generating strategic interactions between links. With the prevalence of multiple equilibria, the parameters are not necessarily point identified. We leave the equilibrium selection unrestricted and propose…

对《英国住房市场中的理性泡沫》的回应AI 解读

In Giglio, Maggiori, and Stroebel (2016), we propose and implement a new test for classic rational bubbles. Such bubbles derive their value from each agent's rational expectation of being able to resell the bubble claims to the next agent. Backward induction ensures that classic rational bubbles can only exist on infinite‐maturity assets. Our empirical exercise shows that infinite‐maturity claims and 999‐year claims for otherwise identical housing assets trade at the same…

We investigate claims made in Giacomini and White (2006) and Diebold (2015) regarding the asymptotic normality of a test of equal predictive ability. A counterexample is provided in which, instead, the test statistic diverges with probability 1 under the null.

We consider statistical inference in games. Each player obtains a small random sample of other players' actions, uses statistical inference to estimate their actions, and chooses an optimal action based on the estimate. In a sampling equilibrium with statistical inference (SESI), the sample is drawn from the distribution of players' actions based on this process. We characterize the set of SESIs in large two‐action games, and compare their predictions to those of Nash…

We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goes to zero. The first‐order asymptotic results highlight how the same‐sign and mixed‐sign components load differently on economic information related to stochastic correlation and jumps. The second‐order asymptotic results…

Oversubscribed treatments are often allocated using randomized waiting lists. Applicants are ranked randomly, and treatment offers are made following that ranking until all seats are filled. To estimate causal effects, researchers often compare applicants getting and not getting an offer. We show that those two groups are not statistically comparable. Therefore, the estimator arising from that comparison is inconsistent when the number of waitlists goes to infinity. We…

It is well understood that classical sample selection models are not semiparametrically identified without exclusion restrictions. Lee (2009) developed bounds for the parameters in a model that nests the semiparametric sample selection model. These bounds can be wide. In this paper, we investigate bounds that impose the full structure of a sample selection model with errors that are independent of the explanatory variables but have unknown distribution. The additional…

劳动力市场中Roy模型、搜寻与补偿性工资差异的综合模型估计AI 解读

In this paper, we develop a model that captures key components of the Roy model, a search model, compensating differentials, and human capital accumulation on‐the‐job. We establish which components of the model can be non‐parametrically identified and which ones cannot. We estimate the model and use it to assess the relative contribution of the different factors for overall wage inequality. We find that variation in premarket skills (the key feature of the Roy model) is the…

This paper considers the problem of forecasting a collection of short time series using cross‐sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This formula utilizes cross‐sectional information to transform the unit‐specific (quasi) maximum likelihood estimator into an approximation of the posterior mean under a prior distribution that…

回归分析中基于抽样与基于设计的不确定性AI 解读

Consider a researcher estimating the parameters of a regression function based on data for all 50 states in the United States or on data for all visits to a website. What is the interpretation of the estimated parameters and the standard errors? In practice, researchers typically assume that the sample is randomly drawn from a large population of interest and report standard errors that are designed to capture sampling variation. This is common even in applications where it…

通胀与专业预测的动态：黏性、持续性和波动性AI 解读

This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky‐information forecast mechanism. The UC model decomposes inflation into trend and gap components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is…

采用指数概率分布的网络形成与互动模型：设定与估计AI 解读

We model network formation and interactions under a unified framework by considering that individuals anticipate the effect of network structure on the utility of network interactions when choosing links. There are two advantages of this modeling approach: first, we can evaluate whether network interactions drive friendship formation or not. Second, we can control for the friendship selection bias on estimated interaction effects. We provide microfoundations of this…

气候变化与美国农业：面板数据中的多维斜率异质性AI 解读

We study potential impacts of future climate change on U.S. agricultural productivity using county‐level yield and weather data from 1950 to 2015. To account for adaptation of production to different weather conditions, it is crucial to allow for both spatial and temporal variation in the production process mapping weather to crop yields. We present a new panel data estimation technique, called mean observation OLS (MO‐OLS) that allows for spatial and temporal heterogeneity…

领取资格、经验费率与失业保险申领AI 解读

In this paper, we investigate the causes and consequences of “unclaimed” unemployment insurance (UI) benefits. A search model is developed where the costs to collecting UI benefits include both a traditional “fixed” administrative cost and an endogenous cost arising from worker and firm interactions. Experience rated taxes give firms an incentive to challenge a worker's UI claim, and these challenges are costly for the worker. Exploiting data on improper denials of UI…

观察邻居的众多个体之间的局部互动估计AI 解读

In various economic environments, people observe other people with whom they strategically interact. We can model such information‐sharing relations as an information network, and the strategic interactions as a game on the network. When any two agents in the network are connected either directly or indirectly in a large network, empirical modeling using an equilibrium approach can be cumbersome, since the testable implications from an equilibrium generally involve all the…

协变量自适应随机化下的分位数处理效应与自助法推断AI 解读

In this paper, we study the estimation and inference of the quantile treatment effect under covariate‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment rule does not achieve strong balance, the inverse…

半参数与非参数模型的非退化 Vuong 检验及选择后置信区间AI 解读

This paper proposes a new model selection test for the statistical comparison of semi/non‐parametric models based on a general quasi‐likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier nested and strictly nonnested cases. The uniform size control is achieved without using pretesting, sample‐splitting, or simulated critical values. We also show that the test has…

线性回归系数与误差方差结构变化的联合检验AI 解读

We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type regressors and the assumptions on the errors are quite mild. Their distribution can be nonnormal and conditional heteroskedasticity is permitted. Extensions to the case with serially…

运行变量被操纵时断点回归设计中的处理效应界AI 解读

The key assumption in regression discontinuity analysis is that the distribution of potential outcomes varies smoothly with the running variable around the cutoff. In many empirical contexts, however, this assumption is not credible; and the running variable is said to be manipulated in this case. In this paper, we show that while causal effects are not point identified under manipulation, one can derive sharp bounds under a general model that covers a wide range of…