论文检索

通过模型平均实现多层网络迁移学习的框架AI 解读

Link prediction in multilayer networks is a key challenge in applications such as recommendation systems and protein-protein interaction prediction. While many techniques have been developed, most rely on assumptions about shared structures and require access to raw auxiliary data, limiting their practicality. To address these issues, we propose a novel transfer learning framework for multilayer networks using a bi-level model averaging method. A $K$-fold cross-validation…

预印本版本摘要 · 查看来源

异质性面板中的个体平均估计AI 解读

In this work, we introduce a unit averaging procedure to efficiently recover unit-specific parameters in a heterogeneous panel model. The procedure consists in estimating the parameter of a given unit using a weighted average of all the unit-specific parameter estimators in the panel. The weights of the average are determined by minimizing an MSE criterion we derive. We analyze the properties of the resulting minimum MSE unit averaging estimator in a local heterogeneity…

半参数广义帕累托模型中的尾部期望分位数估计AI 解读

Expectiles have received increasing attention as a market risk measure that is both coherent and elicitable. They are defined as a least squares analog to quantiles. Their estimation from heavy-tailed loss data in an extreme value framework is an important and difficult problem, especially when the target tail expectile is beyond the range of the data. This problem has been studied only fairly recently, using solely the Weissman extrapolation method. The competing…

面板MIDAS模型非线性最小二乘估计量的渐近分布AI 解读

The Mixed Data Sampling (MIDAS) approach provides a flexible framework for incorporating mixed-frequency data into econometric models. In this paper, we introduce the MIDAS framework into a panel data model and derive the asymptotic properties of the NLS estimator under a joint asymptotic framework where both N and T tend to infinity, allowing for heteroskedasticity and arbitrary correlation within each individual. To facilitate valid inference, we construct robust…

混合采样频率异质面板模型的估计AI 解读

ABSTRACT This paper studies heterogeneous mixed‐frequency panel data models, focusing on linear specifications that allow heterogeneity in both aggregation weights and slope coefficients. To address potential correlations between the heterogeneity and the covariates, we first show that, under additional normalization conditions, the mean‐group estimator delivers consistent and asymptotically normal slope estimates but biased weights estimators. As an alternative, we propose…

以倾向得分校准改善双重／去偏机器学习的平均处理效应有限样本估计AI 解读

ABSTRACT Double/debiased machine learning (DML) uses for estimating an average treatment effect (ATE) a double‐robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment given covariates. Estimators relying on double‐robust score functions are highly sensitive to errors in propensity score predictions. Machine learning algorithms have been found to produce models that often…

We state conditions under which choice data suffice to identify preferences when consumers may not be fully informed about attributes of goods. Our approach can be used to test for full information, forecast how consumers will respond to information, and conduct welfare analysis when consumers are imperfectly informed. In a lab experiment, we successfully forecast the average response to new information when consumers engage in costly search. In data from Expedia, our method…

同质结构下的面板分位数 GARCH 模型AI 解读

Empirical evidence indicates that the estimates of GARCH parameters cluster in a panel of financial assets, potentially due to assets with similar exposure to common market risks. To capture the subgroup effect on conditional quantiles of financial asset returns and improve estimation efficiency by pooling information across individuals within the same group, this article introduces the panel quantile GARCH model with homogeneous structures in the coefficient functions. A…

具有网络关联固定效应的动态面板分位数回归AI 解读

This paper introduces a dynamic panel data quantile regression model with network-linked fixed effects, named DQR-NFE, in which unobserved individual heterogeneity is structured through an underlying network. The corresponding estimator is derived by incorporating a quantile network cohesion (QNC) penalty into the dynamic panel quantile regression framework. This penalty encourages connected units within the network to exhibit similar conditional quantiles, with a…

线性面板模型中固定效应的最优收缩估计AI 解读

Shrinkage methods are frequently used to improve the precision of least squares estimators of fixed effects. However, widely used shrinkage estimators guarantee improved precision only under strong distributional assumptions. I develop an estimator for the fixed effects that obtains the best possible mean squared error within a class of shrinkage estimators. This class includes conventional shrinkage estimators and the optimality does not require distributional assumptions.…

因子网络自回归AI 解读

We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections between economic agents (“multilayer network”), which are summarized into a smaller number of network matrices (“network factors”) through a novel tensor-based principal component approach. We provide consistency and asymptotic normality results for the estimation of the factors, their loadings, and…

相关误差对增长脆弱性结论的挑战AI 解读

ABSTRACT We examine the impact of correlated errors on findings regarding fluctuations in US GDP growth, which are primarily driven by the lower quantiles of the distribution as predicted by financial conditions. A proposed zero‐correlation test reveals the presence of correlated residuals in the quantile regression, introducing endogeneity and raising concerns about the validity of the previous analysis. In response, we extend the model by including two additional lags of…

基于随机森林的面板数据政策评价方法AI 解读

ABSTRACT It is challenging to conduct controlled experiments to assess the impacts of social policy. To address this, past studies propose a panel data approach using factor models to estimate average treatment effects. The selection of control units is a critical step to balance the goodness of fit within‐sample with the posttreatment forecasting error when the number of observed potential control units is large. In this study, we propose using random forests, an ensemble…

一般缺失模式下高维因子模型的推断AI 解读

This paper establishes the inferential theory for the least squares estimation of large factor models with missing data. We propose a unified framework for asymptotic analysis of factor models that covers a wide range of missing patterns, including heterogenous random missing, selection on covariates/factors/loadings, block/staggered missing, mixed frequency and ragged edge. We establish the average convergence rates of the estimated factor space and loading space, the limit…

Abstract We propose ℓ2-relaxation, which is a novel convex optimization problem, to tackle a forecast combination with many forecasts or a minimum variance portfolio with many assets. ℓ2-relaxation minimizes the squared Euclidean norm of the weight vector subject to a set of relaxed linear inequalities to balance the bias and variance. It delivers optimality with approximately equal within-group weights when latent block equicorrelation patterns dominate the high-dimensional…

从 MIDAS 视角看不确定性、偏度与商业周期AI 解读

ABSTRACT We employ a mixed‐frequency quantile regression approach to model the time‐varying conditional distribution of the US real GDP growth rate. We show that monthly information on financial conditions improves the predictive power of an otherwise quarterly‐only model. We combine selected quantiles of the estimated conditional distribution to produce novel measures of uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes…

非共同结构断点AI 解读

We develop a new Bayesian approach to estimate noncommon structural breaks in panel regression models. Any subset of the cross-section may be hit at different times within a break window. Break-specific parameters are learned from the cross-section. They reflect whether (i) breaks hit many or few series and (ii) there is a long or short lag between the first and final series hit by a break. In an empirical application to international stock return predictability, the method…

美国银行间流动性风险网络的情景分位数连通性AI 解读

We characterize the U.S. interbank liquidity risk network based on a supervisory dataset, using a scenario-based quantile network connectedness approach. In terms of methodology, we consider a quantile vector autoregressive model with unobserved heterogeneity and propose a Bayesian nuclear norm estimation method. A common factor structure is employed to deal with unobserved heterogeneity that may exhibit endogeneity within the network. Then we develop a scenario-based…

由分位数回归构造密度预测：宏观金融动态中的多峰性AI 解读

Summary Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two‐step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in the United States…

私人退休账户制度中的性别养老金差距：家庭劳动供给与储蓄动态模型AI 解读

This paper develops and estimates a dynamic model of individuals’ and couples’ labor supply, savings, and retirement decisions to analyze how the design of Chile’s privatized pension system and a reform undertaken in 2008 affect gender pension gaps and old-age poverty. Chile has one of the longest-running private retirements accounts systems in the world, which has served as a model for many countries. The paper estimates the dynamic model using pre-reform data and compares…

空间依赖面板数据的一致非参数推断AI 解读

This article proposes a uniform functional inference method for nonparametric regressions in a panel-data setting that features general unknown forms of spatio-temporal dependence. The method requires a long time span, but does not impose any restriction on the size of the cross section or the strength of spatial correlation. The uniform inference is justified via a new growing-dimensional Gaussian coupling theory for spatio-temporally dependent panels. We apply the method…

We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123-R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that…

面向极端风险的面板分位数回归AI 解读

Panel quantile regression models play an essential role in finance, insurance, and risk management applications. However, a direct application of panel regression for extreme conditional quantiles may suffer from a significant estimation uncertainty due to data sparsity on the far tail. We introduce a two-stage method to predict extreme conditional quantiles over cross-sections, which uses panel quantile regression at a selected intermediate level and then extrapolates the…

利用成对 Copula 构造对捆绑保险风险进行依赖建模、定价与管理AI 解读

We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features — an important type of policy increasingly offered by major insurance companies. The bundling feature naturally leads to longitudinal measurements of multiple insurance risks, and correct pricing and management of such risks is of fundamental interest to financial stability of the macroeconomy. We build a novel predictive model that…