An Adversarial Approach to Identification, Computation, and Inference in Models with a Linear-in-Measures Representation
测度线性表示模型中识别、计算与推断的对抗方法AI 解读 ↓
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测度线性表示模型中识别、计算与推断的对抗方法AI 解读 ↓
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We develop a framework for identification, computation, and inference in econometric models with a linear-in-measures representation. These models express maintained restrictions as moment conditions linear in the joint probability measure of observed and latent inputs, and map that measure linearly to the distribution of outputs, even with nonlinear outcome equations. We construct an adversarial discrepancy function whose zeros characterize the identified set for structural and counterfactual parameters. With finite output support, finite linear programs compute the discrepancy function or provide certified bounds even when latent inputs have infinite support, and a penalized bootstrap yields confidence sets with uniform per-point coverage. We apply the framework to two open cases in binary choice panels with fixed effects and discrete covariates: sequential exogeneity with unspecified conditional marginal error distributions, and known conditional marginal error distributions with unrestricted serial dependence. In an entry game with multiple equilibria, the framework recovers the known sharp identification region.
短面板的稳健分析
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This paper presents a generally applicable method for characterizing sharp identified sets when models place no restrictions on the probability distribution of certain latent variables…
替代与互补关系模式的检验和识别
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and admits heterogeneous complementarity through observed characteristics. I first provide testable implications for the complementarity relationship between goods. I then characterize the sharp identified set for the model parameters and…
通过随机优化进行估计与推断:三个实例
This paper illustrates two algorithms designed in Forneron & Ng (2020): the resampled Newton-Raphson (rNR) and resampled quasi-Newton (rqN) algorithms which speed-up estimation and bootstrap inference for structural models. An empirical application to BLP shows that computation time decreases from nearly 5 hours with the standard bootstrap to just over 1 hour with rNR, and only 15 minutes using rqN. A first Monte-Carlo exercise illustrates the accuracy of the method for…
利用面板数据进行稳健企业定价
Firms often have imperfect information about demand for their products. We develop an integrated econometric and theoretical framework to model firm demand assessment and subsequent pricing decisions with limited information. We introduce a panel data discrete choice model whose realistic assumptions about consumer behavior deliver partially identified preferences and thus generate ambiguity in the firm pricing problem. We use the minimax-regret criterion as a…
潜在效用与置换不变性:显示偏好方法
This paper provides partial identification results for latent utility models that satisfy an invariance property on unobservables such as exchangeability. We employ a simple revealed preference argument to “difference out” unobservables, obtaining identifying inequalities for utility indices. We show the differencing argument is also useful for counterfactual analysis. The framework generalizes existing work in discrete choice by allowing latent feasibility sets and by…
同时不完备与不相容的动态有限因变量模型:融资约束与企业创新
We develop novel methods for establishing coherency and completeness conditions in Static and Dynamic Limited Dependent Variables (LDV) Models. We characterize the two distinct problems as “empty-region” incoherency and “overlap-region” incoherency or incompleteness and show that the two properties can co-exist. We focus on the class of models that can be Simultaneously Incomplete and Incoherent (SII). We propose estimation strategies based on Conditional Maximum Likelihood…