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协整回归变量：折叠凹惩罚何时超越 LASSOAI 解读

LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions with many regressors, the convex penalty of LASSO overly suppresses the coefficients of cointegrated regressors and therefore fails to deliver consistent parameter estimation. We employ folded concave penalties (FCP), including the well-known SCAD and MCP, to address this issue. Using FCP, we…

具有潜在结构的社会互动模型AI 解读

This paper studies estimation and inference of heterogeneous social interactions featuring group fixed effects and slope heterogeneity under latent structure. Theoretically, in a binary choice model with social interactions we characterize the asymptotic bias of the slope coefficient due to the presence of high dimensional incidental parameters. Computationally, we invoke parametric bootstrap method to debias and establish asymptotic validity. Furthermore, tailored…

Nickell 遇上 Stambaugh：面板预测回归中的双重偏差AI 解读

In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This paper introduces an innovative estimator, the Double IVX (DIVX), inspired by the IVX technique in time series. DIVX effectively removes this composite Nickell-Stambaugh bias and reinstates standard inferential procedures based on the t-statistic. This new procedure achieves unified inference across a…

合成控制的松弛方法AI 解读

The synthetic control method (SCM) is widely used for constructing the counterfactual of a treated unit based on data from control units in a donor pool. Allowing the donor pool contains more control units than time periods, we propose a novel machine learning algorithm, named SCM-relaxation, for counterfactual prediction. Our relaxation approach minimizes an information-theoretic measure of the weights subject to a set of relaxed linear inequality constraints in addition to…

网络装袋法：含个体固定效应的网络形成估计与推断AI 解读

We develop a unified estimation and inference framework for dyadic network formation with individual fixed effects, covering both transferable-utility (TU) and nontransferable-utility (NTU) links under general link functions. Under NTU, bilateral consent makes the fixed effects non-additive and the log-likelihood non-concave in the high-dimensional fixed effects, so differencing and profile-likelihood methods fail. We combine a joint method-of-moments initial estimator, a Le…

高维预测回归中的 LASSO 推断AI 解读

LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross sectional data, the desparsified LASSO has emerged as a well-known remedy for correcting the shrinkage bias. In the context of high dimensional predictive regression, the desparsified LASSO faces an additional challenge: the Stambaugh bias arising from nonstationary regressors modeled as local…

通过噪声正则化实现经济预测中的良性过拟合AI 解读

This paper studies linear overparameterized models in economic forecasting and highlights that including noise variables (regressors with no predictive power) regularizes the estimator. We consider a setting where both the outcome variable and the high-dimensional predictors are driven by a small number of latent factors, and show that the linear forecast model is dense rather than sparse. It turns out that a ridgeless regression augmented with noise predictors attains the…

面板局部投影中的 Nickell 偏误：金融危机损失可能被低估AI 解读

Panel local projection (LP) with fixed-effects (FE) is widely adopted for evaluating the economic consequences of financial crises across countries. This paper highlights a fundamental methodological issue: the presence of the Nickell bias in the panel FE estimator due to inherent dynamic structures of predictive specifications, even if the regressors have no lagged dependent variables. The Nickell bias invalidates the standard inferential procedure based on the $t$-statistic…

经济预测中的L2松弛方法AI 解读

We leverage an ensemble of many regressors, the number of which can exceed the sample size, for economic prediction. An underlying latent factor structure implies a dense regression model with highly correlated covariates. We propose the L2-relaxation method for estimating the regression coefficients and extrapolating the out-of-sample (OOS) outcomes. This framework can be applied to policy evaluation using the panel data approach (PDA), where we further establish inference…

非平稳宏观数据反事实分析的合成经济周期方法AI 解读

This paper investigates the use of synthetic control methods for causal inference in macroeconomic settings when dealing with possibly nonstationary data. While the synthetic control approach has gained popularity for estimating counterfactual outcomes, we caution researchers against assuming a common nonstationary trend factor across units for macroeconomic outcomes, as doing so may result in misleading causal estimation-a pitfall we refer to as the spurious synthetic…

依赖数据下高维矩约束的经验似然方法AI 解读

Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a unified framework, with high-dimensional parameters identified by moment conditions. As the number of parameters and moment conditions may surpass the sample size, we propose adding a double penalty to the empirical likelihood criterion to…

增强型 HP 滤波器的适用范围比想象中更广AI 解读

The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the…

高维预测回归中的 LASSOAI 解读

This paper examines LASSO, a widely-used $L_{1}$-penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictors exceeds the sample size and numerous unit root regressors are present. The consistency of LASSO is contingent upon two key components: the deviation bound of the cross product of the regressors and the error term, and the restricted eigenvalue of the Gram matrix. We present new probabilistic…

L2 松弛：预测组合与投资组合分析AI 解读

This paper tackles forecast combination with many forecasts or minimum variance portfolio selection with many assets. A novel convex problem called L2-relaxation is proposed. In contrast to standard formulations, L2-relaxation minimizes the squared Euclidean norm of the weight vector subject to a set of relaxed linear inequality constraints. The magnitude of relaxation, controlled by a tuning parameter, balances the bias and variance. When the variance-covariance (VC) matrix…

用惩罚经验似然筛选矩条件AI 解读

Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in the meantime a few invalid ones may undermine consistency. This paper investigates the empirical likelihood estimation of these moment-defined models in high-dimensional settings. We propose a penalized empirical likelihood (PEL)…

Boosting：为何可以使用 HP 滤波器AI 解读

The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. Like all nonparametric methods, the HP filter depends critically on a tuning parameter that controls the degree of smoothing. Yet in contrast to modern nonparametric methods and applied work with these procedures, empirical practice with the HP filter almost universally relies on standard settings for the tuning parameter that have been suggested largely by…