每日简报

分箱散点回归与 Binsreg 软件包AI 解读

We introduce the package Binsreg, which implements the binscatter methods developed by Cattaneo, Crump, Farrell, and Feng (2024b,a). The package includes seven commands: binsreg, binslogit, binsprobit, binsqreg, binstest, binspwc, and binsregselect. The first four commands implement binscatter plotting, point estimation, and uncertainty quantification (confidence intervals and confidence bands) for least squares linear binscatter regression (binsreg) and for nonlinear…

非参数分位数工具变量回归加权平均导数的惩罚筛广义经验似然AI 解读

This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is no published work on the asymptotic properties of any estimator of its WAD. We first characterize the semiparametric efficiency bound for a WAD of a NPQIV, which, unfortunately, depends on an unknown conditional derivative…

Z 估计框架中多函数参数的正则化后一致有效置信区域AI 解读

In this paper we develop procedures to construct simultaneous confidence bands for $\tilde p$ potentially infinite-dimensional parameters after model selection for general moment condition models where $\tilde p$ is potentially much larger than the sample size of available data, $n$. This allows us to cover settings with functional response data where each of the $\tilde p$ parameters is a function. The procedure is based on the construction of score functions that satisfy…

倾向得分的设定检验AI 解读

This paper proposes new nonparametric diagnostic tools to assess the asymptotic validity of different treatment effects estimators that rely on the correct specification of the propensity score. We derive a particular restriction relating the propensity score distribution of treated and control groups, and develop specification tests based upon it. The resulting tests do not suffer from the "curse of dimensionality" when the vector of covariates is high-dimensional, are…