每日简报

节点归属随时间变化的异配随机块模型动态聚类AI 解读

Summary We consider a time-ordered sequence of networks stemming from stochastic block models in which nodes gradually change their membership over time, and no network at any single time-point contains sufficient signal strength to recover its community structure. To estimate the time-varying community structure, we develop the kernel-debiased sum of squares method that performs spectral clustering after a debiased sum-of-squared aggregation of adjacency matrices. Our…

最优分配的统计推断之一：正则性及其含义AI 解读

In this paper, we develop a functional differentiability approach for solving statistical optimal allocation problems. We derive Hadamard differentiability of the value functions through analyzing the properties of the sorting operator using tools from geometric measure theory. Building on our Hadamard differentiability results, we apply the functional delta method to obtain the asymptotic properties of the value function process for the binary constrained optimal allocation…

动态选择下实验与观察数据结合的信息价值AI 解读

The Average Treatment Effect on the Treated Survivors (ATETS; Vikström et al., 2018) captures a composite effect of time-varying treatment and dynamic selection into the survivor population. We address the problem of identifying this treatment-effect parameter in the absence of long-term experimental data, utilizing available long-term observational data instead. This poses a nontrivial challenge in practice, as dynamic selection compounds static selection in observational…

多变量波动率结构变化的符号检验AI 解读

This paper proposes sign-based CUSUM and QS tests for structural changes in multivariate volatility using least absolute deviation (LAD) regression. These tests offer the advantage of relaxing moment conditions and providing greater robustness against various heavy-tailed innovations. To address potential power losses in the two basic statistics due to inaccurate estimation of the long-run variance (LRV) under alternatives, the paper then proposes two modified statistics…

含时变回归量与固定效应的持续期模型半参数估计AI 解读

In this paper, we consider estimation of an accelerated failure time model with time-varying regressors and fixed effects for duration data. We propose computationally simple profiled estimators for both fixed and random censoring cases. Under regularity conditions, we establish consistency and asymptotic normality of the estimators. Simulation studies demonstrate that our estimators perform well in finite samples. Finally, we use data from the First Malaysian Family Life…

资产收益与期权需求的条件密度比模型估计AI 解读

Option-implied risk-neutral densities are widely used for constructing forward-looking risk measures. Meanwhile, risk aversion introduces a multiplicative pricing kernel between the risk-neutral and true conditional densities of the underlying asset’s return. This paper proposes a simple local estimator of the pricing kernel based on inverse density weighting. We characterize the asymptotic bias and variance of the estimator and its multiplicatively corrected density…

卷积 t 分布AI 解读

We introduce a family of multivariate heavy-tailed distributions, termed convolution-t distributions, constructed as convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, this family captures nonlinear dependencies, accommodates heterogeneous marginal distributions, and reveals cluster structures prevalent in economic data. Importantly, convolution-t distributions admit simple closed-form densities that facilitate…

张量数据的扩散指数预测AI 解读

In this paper, we consider diffusion index forecasting with both tensor and non-tensor predictors, where the tensor structure is preserved with a Canonical Polyadic (CP) tensor factor model. When the number of non-tensor predictors is small, we study the asymptotic properties of the least squares estimator in this tensor factor-augmented regression, allowing for factors with different strengths. We derive an analytical formula for prediction intervals that accounts for the…

波动率究竟是粗糙性还是长记忆？AI 解读

We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum composite likelihood estimator. We implement our approach on a pair of models that have been proposed to describe the random log-spot variance of financial asset returns. A simulation study shows that it delivers good performance in these settings and improves upon a method-of-moments estimation. In…

高维条件因子模型AI 解读

This paper studies estimation and variable selection in conditional factor models with high-dimensional instruments, where the coefficient matrix exhibits a low-rank and row-sparse structure. We propose a multi-stage estimation procedure that combines nuclear norm regularization and adaptive group LASSO regression to consistently estimate latent factors and row-sparse loading coefficients, while selecting relevant instrumental characteristics. We establish theoretical…

重印：融合交易信息的高频数据非参数估计AI 解读

We propose nonparametric estimators for the explicative part of the noise in a model where the market microstructure noise is an unknown function of the trading information while allowing for the presence of an additional residual noise component. Our method allows for dependence in the observable trading information and accommodates the presence of infinite variation jumps in the efficient price process. We establish the convergence and asymptotic normality of the proposed…

分布目标下最优政策学习的公平性正则化AI 解读

A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an “optimal” predicted outcome distribution according to some target functional. Nevertheless, a fairness-aware decision maker may not be satisfied achieving said optimality at the cost of being “unfair” against a subgroup of the population, in the sense that the outcome distribution in that subgroup…

非参数位置—尺度模型的极小极大收敛速率AI 解读

This paper studies minimax rates of convergence for nonparametric location-scale models, which include mean, quantile, expectile and momentile regression settings. Under Hellinger differentiability on the error distribution and other mild conditions, we show that the minimax rate of convergence for estimating the regression function under the squared L2 loss is determined by the metric entropy of the nonparametric function class. Different error distributions, including…

矩阵指数空间模型的 GMM 推断AI 解读

This paper offers hypothesis and specification tests for the best generalized methods of moment estimator (BGMME) of the matrix exponential spatial specification (MESS) developed by Debarsy et al. (2015). First, as the BGMME is a two-step estimator, we formulate corrected standard errors using a modified version of the finite sample correction method in Windmeijer (2005) that accounts for the fact that the BGMME makes more extensive use of the first-stage estimator than the…

局部稳健且半参数有效的贝叶斯推断AI 解读

We propose a framework for making Bayesian parametric models robust to local misspecification. Suppose in a baseline parametric model, a parameter of interest has an interpretation in an encompassing semiparametric model. Bayesian and maximum likelihood estimators are generally biased under local misspecification. We propose to augment the baseline likelihood by a multiplicative factor that involves scores for the baseline model, the efficient scores for the encompassing…

空间处理的因果推断AI 解读

Many events and policies (treatments) occur at specific spatial locations, with researchers interested in their effects on nearby units. I approach the spatial treatment setting from an experimental perspective: What ideal experiment would we design to estimate the causal effects of spatial treatments? This perspective motivates a comparison between units near realized treatment locations and units near counterfactual (unrealized) candidate locations, which differs from…

局部投影的双重稳健性与 VAR 推断的隐患AI 解读

We consider impulse response inference in a locally misspecified vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This result follows from a “double robustness” property analogous to that of popular partially linear regression estimators. By contrast, the conventional VAR confidence interval with…

经济增长与大型企业的崛起AI 解读

I document that the right tail of the firm size distribution systematically thickens with economic development. To rationalize this fact, I develop a parsimonious idea search model in which both aggregate growth and the firm size distribution are endogenously determined. The model features an asymptotic balanced growth path along which Gibrat's law holds at each date, and the right tail of the firm size distribution thickens monotonically toward Zipf's law. The model also…

个性化政策的机制设计：激励运动的实地实验AI 解读

Personalizing policies can theoretically increase their effectiveness. However, personalization is difficult when individual types are unobservable and the preferences of policymakers and individuals are not aligned, which could cause individuals to misreport their type. Mechanism design offers a strategy to overcome this issue: offer an “incentive‐compatible” menu of policy choices designed to induce participants to select the variant intended for their type. Using a field…

高斯过程最大值位置分布函数的连续性AI 解读

Certain extremum estimators have asymptotic distributions that are non‐Gaussian, yet characterizable as the distribution of the arg max of a Gaussian process. This paper presents high‐level sufficient conditions under which such asymptotic distributions admit a continuous distribution function. The plausibility of the sufficient conditions is demonstrated by verifying them in three examples, namely, maximum score estimation, empirical risk minimization, and threshold…

通过近似后验传达科学不确定性AI 解读

We cast the problem of communicating scientific uncertainty as one of reporting a posterior distribution on an unknown parameter to an audience of Bayesian decision‐makers. We establish novel bounds on the audience's regret when the analyst reports an approximation to a posterior that the audience treats as exact. Under a palatable restriction on the audience's decision problems, the bounds take an especially convenient form. Under a further restriction on the audience's…

农村移民与城市非正规就业：来自巴西的证据AI 解读

This paper studies the economic effects of rural‐urban migration on Brazilian cities. Using a shift‐share IV design, we show that, over a decade, drought‐induced immigration reduces informality, has no effect on unemployment, and increases the number of formal firms and jobs. Downward formal wage adjustments play a key role, as these long‐run effects are weaker in regions with stronger wage rigidity. In the short run, when wage rigidity is strongest, we replicate the…

估计精度能够预测参数时的经验贝叶斯方法AI 解读

Gaussian empirical Bayes methods usually maintain a precision independence assumption: The unknown parameters of interest are independent from the known standard errors of the estimates. This assumption is often theoretically questionable and empirically rejected. This paper proposes to model the conditional distribution of the parameter given the standard errors as a flexibly parameterized location‐scale family of distributions, leading to a family of methods that we call…

基于最优传输的广义矩估计AI 解读

We propose a novel optimal transport‐based version of the Generalized Method of Moment (GMM). Instead of handling overidentification by reweighting the data to satisfy the moment conditions (as in Generalized Empirical Likelihood methods), this method proceeds by allowing for errors in the variables of the least mean‐square magnitude necessary to simultaneously satisfy all moment conditions. This approach, based on the notions of optimal transport and Wasserstein metric,…