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边界问题中似然比检验的统一临界值AI 解读

Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to size distortions when standard critical values are used for testing. In this paper, we propose a new and simple way of constructing critical values that yields uniformly correct asymptotic size, regardless of whether nuisance parameters are at, near or far from the boundary of the parameter space.…

高频事件研究中因果效应的识别与估计AI 解读

We provide precise conditions for nonparametric identification of causal effects by high-frequency event study regressions, which have been used widely in the recent macroeconomics, financial economics and political economy literatures. The high-frequency event study method regresses changes in an outcome variable on a measure of unexpected changes in a policy variable in a narrow time window around an event or a policy announcement (e.g., a 30-minute window around an FOMC…