Estimators of the Finite Population Distribution Function using Nonparametric Regression
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This paper considers estimators of the distribution function of a variable over a finite population, when a sample of units is available and values of a related auxiliary variable are known for the whole population. Theory is offered for several estimators which rely on nonparametric regression, and for calibration estimators which require a parametric model.
伪面板事件研究:可信应用的计量经济学基础
Event studies with panel data are widely used to estimate treatment effects. With repeated cross-sections, future treatment dates are unobserved for untreated individuals. Pseudo-panel event studies impute pre-treatment outcomes of the treated using matched untreated individuals. This paper establishes identification in such designs and characterizes bias when identification conditions fail. I show that the pseudo-panel regression is equivalent to weighted least squares with…
异质性高维分位数回归的全局推断
Quantile regression has received considerable attention in high dimensional methodology due to its robustness and ability to accommodate heteroskedasticity. Despite this attention, current inferential methods for high dimensional quantile regression have significant limitations---only testing significance, testing at a single quantile at a time, or assuming homoskedasticity. To generalize the inferences that can be drawn in high dimensional quantile regression, we introduce…
半参数广义帕累托模型中的尾部期望分位数估计
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…
利用成交价格进行有限样本拍卖推断
We first provide inference on the quantile function of the bid distribution in firstprice or descending auctions, and the quantile function of the value distribution in second-price or ascending auctions, with a known number of bidders with symmetric independent private values. Specifically, we provide finite-sample, nonparametric, tuning parameter-free, uniform confidence bands for these quantile functions when observing only the transaction price. We also show how these…
劳动者侧歧视:信念与偏好
When agents choose among options with unobserved attributes to maximize expected utility, their choices conflate preferences with beliefs about those attributes. We develop a novel theory-driven identification strategy for such settings, showing that compensating differentials separately identify beliefs from preferences. Noting that workers’ preferences and beliefs shape labor market outcomes, yet remain understudied, we apply our method to provide the first evidence on the…
条件影响函数
There are many nonparametric objects of interest that are functionals of a conditional distribution, such as average treatment effects conditional on a low-dimensional set of covariates. We define a conditional influence function (CIF) as the Gateaux derivative of a conditional parameter with respect to perturbations of the conditional law of a single observation given the conditioning variable. CIFs generalize classical influence functions and can be used to (i) construct…