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计量经济学研究者的最优传输指南AI 解读

We propose an overview of optimal transport theory and its applications to econometric methodology. This review is specifically designed for practitioners, be they econometric theorists or applied econometricians. The review of applications of optimal transport to econometrics is organized around the particular aspects of the mathematical theory of optimal transport they rely on.

重复匹配博弈的实证框架AI 解读

We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with market-clearing prices takes place. We prove the existence of an equilibrium with time-varying distributions of agent types and show it is the solution to a social planner's problem. We also prove that a stationary equilibrium exists. We…

超越 logit 的可转移效用匹配：一般异质性下的计算与估计AI 解读

We present a general framework for matching with transferable utility (TU) that accommodates arbitrary heterogeneity without relying on the logit structure. The optimal assignment problem is characterized by tractable linear programming formulation, allowing flexible error distributions and correlation patterns. We introduce an iterative algorithm that solves large-scale assignment problems with guaranteed convergence and an intuitive economic interpretation, and we show how…

Sinkhorn 算法与选择模型的联系AI 解读

For a broad class of models widely used in practice for choice and ranking data based on Luce's choice axiom, including the Bradley--Terry--Luce and Plackett--Luce models, we show that the associated maximum likelihood estimation problems are equivalent to a classic matrix balancing problem with target row and column sums. This perspective opens doors between two seemingly unrelated research areas, and allows us to unify existing algorithms in the choice modeling literature…

工作便利条件价值与劳动生产率估计札记AI 解读

This paper introduces a maximum likelihood estimator of the value of job amenities and labor productivity in a single matching market based on the observation of equilibrium matches and wages. The estimation procedure simultaneously fits both the matching patterns and the wage curve. While our estimator is suited for a wide range of assignment problems, we provide an application to the estimation of the Value of a Statistical Life using compensating wage differentials for…

可分离匹配模型的估计AI 解读

In this paper we propose two simple methods to estimate models of matching with transferable and separable utility introduced in Galichon and Salanié (2022). The first method is a minimum distance estimator that relies on the generalized entropy of matching. The second relies on a reformulation of the more special but popular Choo and Siow (2006) model; it uses generalized linear models (GLMs) with two-way fixed effects.

酸奶选择消费者？通过双边匹配估计随机效用模型AI 解读

The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility models that are not necessarily additive, smooth, nor even invertible. Based on this equivalence, algorithms for the determination of stable matchings provide effective computational methods for estimating these models. For non-invertible…

This paper provides an introduction to structural estimation methods for matching markets with transferable utility.

不完全模型中的统计推断AI 解读

We provide a test for the specification of a structural model without identifying assumptions. We show the equivalence of several natural formulations of correct specification, which we take as our null hypothesis. From a natural empirical version of the latter, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we use to construct our test. We derive the limiting distribution of our test statistic under the null, and show that our test is…

多重均衡模型的集合识别AI 解读

We propose a computationally feasible way of deriving the identified features of models with multiple equilibria in pure or mixed strategies. It is shown that in the case of Shapley regular normal form games, the identified set is characterized by the inclusion of the true data distribution within the core of a Choquet capacity, which is interpreted as the generalized likelihood of the model. In turn, this inclusion is characterized by a finite set of inequalities and…

动态离散选择模型中的对偶性AI 解读

Using results from convex analysis, we investigate a novel approach to identification and estimation of discrete choice models which we call the Mass Transport Approach (MTA). We show that the conditional choice probabilities and the choice-specific payoffs in these models are related in the sense of conjugate duality, and that the identification problem is a mass transport problem. Based on this, we propose a new two-step estimator for these models; interestingly, the first…

识别特征价格模型的熵方法AI 解读

This paper contributes to the literature on hedonic models in two ways. First, it makes use of Queyranne's reformulation of a hedonic model in the discrete case as a network flow problem in order to provide a proof of existence and integrality of a hedonic equilibrium and efficient computation of hedonic prices. Second, elaborating on entropic methods developed in Galichon and Salanié (2014), this paper proposes a new identification strategy for hedonic models in a single…

多元数据的极端依赖AI 解读

This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then proposes a means to quantify the strength of the dependence between two given multivariate series and to increase this strength while preserving the marginal…

扩张自助法AI 解读

We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of the econometric structure. We develop a dilation bootstrap methodology to deal with sampling uncertainty without reference to the hypothesized economic structure. It requires bootstrapping the quantile process for univariate data and a novel generalization of the latter to higher dimensions. Once…

非识别性限制的检验与部分识别参数置信区域AI 解读

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and multiple equilibria. When the restrictions are parameterized, the test can be inverted to yield confidence regions for partially identified parameters, thereby complementing other…

匹配互补性的识别：几何视角AI 解读

We provide a geometric formulation of the problem of identification of the matching surplus function and we show how the estimation problem can be solved by the introduction of a generalized entropy function over the set of matchings.

特征定价均衡与非可分联立方程的识别AI 解读

This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several dimensions of unobserved heterogeneity. With products differentiated along a quality index and agents characterized by scalar unobserved heterogeneity, single crossing conditions on preferences and technology provide identifying restrictions…

可分离匹配模型的计量方法与若干性质AI 解读

We present a class of one-to-one matching models with perfectly transferable utility. We discuss identification and inference in these separable models, and we show how their comparative statics are readily analyzed.

超越正确设定的向量分位数回归AI 解读

This paper studies vector quantile regression (VQR), which is a way to model the dependence of a random vector of interest with respect to a vector of explanatory variables so to capture the whole conditional distribution, and not only the conditional mean. The problem of vector quantile regression is formulated as an optimal transport problem subject to an additional mean-independence condition. This paper provides a new set of results on VQR beyond the case with correct…

向量分位数回归：最优运输方法AI 解读

We propose a notion of conditional vector quantile function and a vector quantile regression. A \emph{conditional vector quantile function} (CVQF) of a random vector $Y$, taking values in $\mathbb{R}^d$ given covariates $Z=z$, taking values in $\mathbb{R}% ^k$, is a map $u \longmapsto Q_{Y\mid Z}(u,z)$, which is monotone, in the sense of being a gradient of a convex function, and such that given that vector $U$ follows a reference non-atomic distribution $F_U$, for instance…

Monge–Kantorovich 深度、分位数、秩与符号AI 解读

We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation maps between a distribution of interest on $R^d$ and a reference distribution on the $d$-dimensional unit ball. The new depth concept, called Monge-Kantorovich depth, specializes to halfspace depth in the case of spherical distributions, but, for more general distributions, differs from the latter in the ability for its contours to account for non convex…

不交叉的分位数与概率曲线AI 解读

This paper proposes a method to address the longstanding problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile crossing problem. The method consists in sorting or monotone rearranging the original estimated non-monotone curve into a monotone rearranged curve. We show that the rearranged curve is closer to the true quantile curve in finite samples than the original curve, establish a functional delta method…

Edgeworth–Cornish–Fisher 展开的递增重排AI 解读

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the distribution and quantile functions of the sample mean than the original…