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中间混杂与单调性约束下自然中介效应的高效灵活估计AI 解读

Natural direct and indirect effects are mediational estimands that decompose the average treatment effect and describe how outcomes would be affected by contrasting levels of a treatment through changes induced in mediator values (in the case of the indirect effect) or not through induced changes in the mediator values (in the case of the direct effect). Natural direct and indirect effects are not generally point-identifiable in the presence of a treatment-induced…

即时预测中计量经济学与机器学习方法的基准比较AI 解读

Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose from. However, there lacks a comprehensive comparison of these disparate approaches in terms of predictive performance and characteristics. This paper addresses that deficiency by examining the performance of 12 different methodologies in…

通过随机优化进行估计与推断AI 解读

In non-linear estimations, it is common to assess sampling uncertainty by bootstrap inference. For complex models, this can be computationally intensive. This paper combines optimization with resampling: turning stochastic optimization into a fast resampling device. Two methods are introduced: a resampled Newton-Raphson (rNR) and a resampled quasi-Newton (rqN) algorithm. Both produce draws that can be used to compute consistent estimates, confidence intervals, and standard…

未知软干预下贝叶斯因果推断的干预型高斯等价评分AI 解读

Describing the causal relations governing a system is a fundamental task in many scientific fields, ideally addressed by experimental studies. However, obtaining data under intervention scenarios may not always be feasible, while discovering causal relations from purely observational data is notoriously challenging. In certain settings, such as genomics, we may have data from heterogeneous study conditions, with soft (partial) interventions only pertaining to a subset of the…

具有高维协变量的断点回归设计推断AI 解读

We study regression discontinuity designs in which many predetermined covariates, possibly much more than the number of observations, can be used to increase the precision of treatment effect estimates. We consider a two-step estimator which first selects a small number of "important" covariates through a localized Lasso-type procedure, and then, in a second step, estimates the treatment effect by including the selected covariates linearly into the usual local linear…

部分可观测向量自回归的极小极大估计AI 解读

High-dimensional time series are a core ingredient of the statistical modeling toolkit, for which numerous estimation methods are known.But when observations are scarce or corrupted, the learning task becomes much harder.The question is: how much harder? In this paper, we study the properties of a partially-observed Vector AutoRegressive process, which is a state-space model endowed with a stochastic observation mechanism.Our goal is to estimate its sparse transition matrix,…

潜在结果模型中外生性假设的选择AI 解读

There are many kinds of exogeneity assumptions. How should researchers choose among them? When exogeneity is imposed on an unobservable like a potential outcome, we argue that the form of exogeneity should be chosen based on the kind of selection on unobservables it allows. Consequently, researchers can assess the plausibility of any exogeneity assumption by studying the distributions of treatment given the unobservables that are consistent with that assumption. We use this…

观察性研究中限制平均生存时间边际因果效应的匹配设计AI 解读

Investigating the causal relationship between exposure and the time-to-event outcome is an important topic in biomedical research. Previous literature has discussed the potential issues of using the hazard ratio as a marginal causal effect measure due to its noncollapsibility property. In this paper, we advocate using the restricted mean survival time (RMST) difference as the marginal causal effect measure, which is collapsible and has a simple interpretation as the…

标准拍卖模型的估计AI 解读

We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the price they paid in a sequence of identical auctions, we provide algorithms for non-parametrically estimating the bid distribution of each bidder, as well as their value distributions under equilibrium assumptions. We provide finite-sample…

利用半参数模型优化动态定价策略AI 解读

In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or failure of a sale is observed. Our model setting is similar to Javanmard and Nazerzadeh [2019] except that we expand the demand curve to a semiparametric model and need to learn dynamically both parametric and nonparametric components. We…

关于《存在不可观测选择集异质性的偏好估计综述》的注记AI 解读

Crawford's et al. (2021) article on estimation of discrete choice models with unobserved or latent consideration sets, presents a unified framework to address the problem in practice by using "sufficient sets", defined as a combination of past observed choices. The proposed approach is sustained in a re-interpretation of a consistency result by McFadden (1978) for the problem of sampling of alternatives, but the usage of that result in Crawford et al. (2021) is imprecise in…

同伴群体误设下同伴效应的识别：数据缺失与群体不确定性AI 解读

We consider identification of peer effects under peer group miss-specification. Two leading cases are missing data and peer group uncertainty. Missing data can take the form of some individuals being entirely absent from the data. The researcher need not have any information on missing individuals and need not even know that they are missing. We show that peer effects are nevertheless identifiable under mild restrictions on the probabilities of observing individuals, and…

具有连续共同主要终点的集群随机试验功效分析AI 解读

Pragmatic trials evaluating health care interventions often adopt cluster randomization due to scientific or logistical considerations. Previous reviews have shown that co-primary endpoints are common in pragmatic trials but infrequently recognized in sample size or power calculations. While methods for power analysis based on $K$ ($K\geq 2$) binary co-primary endpoints are available for CRTs, to our knowledge, methods for continuous co-primary endpoints are not yet…

因果可解释元分析中的系统性数据缺失AI 解读

Causally interpretable meta-analysis combines information from a collection of randomized controlled trials to estimate treatment effects in a target population in which experimentation may not be possible but covariate information can be collected from a simple random sample. In such analyses, a key practical challenge is systematically missing data when some baseline covariates are not collected in all trials. Here, we provide identification results for potential…

构造局部自归一化多变点检验的一般框架AI 解读

We propose a general framework to construct self-normalized multiple-change-point tests with time series data. The only building block is a user-specified one-change-point detecting statistic, which covers a wide class of popular methods, including cumulative sum process, outlier-robust rank statistics and order statistics. Neither robust and consistent estimation of nuisance parameters, selection of bandwidth parameters, nor pre-specification of the number of change points…

利用微观数据非参数识别差异化产品需求AI 解读

We examine identification of differentiated products demand when one has "micro data" linking individual consumers' characteristics and choices. Our model nests standard specifications featuring rich observed and unobserved consumer heterogeneity as well as product/market-level unobservables that introduce the problem of econometric endogeneity. Previous work establishes identification of such models using market-level data and instruments for all prices and quantities.…

分布偏移下的统计检验AI 解读

In this work, we introduce statistical testing under distributional shifts. We are interested in the hypothesis $P^* \in H_0$ for a target distribution $P^*$, but observe data from a different distribution $Q^*$. We assume that $P^*$ is related to $Q^*$ through a known shift $τ$ and formally introduce hypothesis testing in this setting. We propose a general testing procedure that first resamples from the observed data to construct an auxiliary data set and then applies an…

带约束的条件矩限制模型AI 解读

Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference under shape restrictions in identified and partially identified models defined by conditional moment restrictions. Our test statistics and proposed inference methods are based on the minimum of the generalized method of moments (GMM)…

论一种衡量自然利率的标准方法AI 解读

I show that Holston, Laubach and Williams' (2017) implementation of Median Unbiased Estimation (MUE) cannot recover the signal-to-noise ratio of interest from their Stage 2 model. Moreover, their implementation of the structural break regressions which are used as an auxiliary model in MUE deviates from Stock and Watson's (1998) formulation. This leads to spuriously large estimates of the signal-to-noise parameter $λ_{z}$ and thereby an excessive downward trend in other…

木板压制停止时点检测：函数型时间序列方法AI 解读

We consider determining the optimal stopping time for the glue curing of wood panels in an automatic process environment. Using the near-infrared spectroscopy technology to monitor the manufacturing process ensures substantial savings in energy and time. We collect a time series of curves from a near-infrared spectrum probe consisting of 72 spectra and aim to detect an optimal stopping time. We propose an estimation procedure to determine the optimal stopping time of wood…

利用灵活局部投影估计脉冲响应AI 解读

This paper introduces a flexible local projection that generalizes the model by Jordá (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application shows that the fiscal multiplier is stronger in recession than in expansion only in response to contractionary fiscal shocks, but not in response to expansionary fiscal shocks. We…

边际反事实生存曲线的近端因果推断AI 解读

Contrasting marginal counterfactual survival curves across treatment arms is an effective and popular approach for inferring the causal effect of an intervention on a right-censored time-to-event outcome. A key challenge to drawing such inferences in observational settings is the possible existence of unmeasured confounding, which may invalidate most commonly used methods that assume no hidden confounding bias. In this paper, rather than making the standard no unmeasured…

行程观测不完整时递归路径选择模型的估计AI 解读

This work concerns the estimation of recursive route choice models in the situation that the trip observations are incomplete, i.e., there are unconnected links (or nodes) in the observations. A direct approach to handle this issue would be intractable because enumerating all paths between unconnected links (or nodes) in a real network is typically not possible. We exploit an expectation-maximization (EM) method that allows to deal with the missing-data issue by…

多变量空间与时空 ARCH 模型AI 解读

This paper introduces a multivariate spatiotemporal autoregressive conditional heteroscedasticity (ARCH) model based on a vec-representation. The model includes instantaneous spatial autoregressive spill-over effects in the conditional variance, as they are usually present in spatial econometric applications. Furthermore, spatial and temporal cross-variable effects are explicitly modelled. We transform the model to a multivariate spatiotemporal autoregressive model using a…