Journal of Econometrics最新文献

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IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01

引用次数: 0

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01

引用次数: 0

Robustness to missing data: breakdown point analysis 对缺失数据的稳健性：分解点分析

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-26 DOI: 10.1016/j.jeconom.2025.106151

Daniel Ober-Reynolds

Missing data is pervasive in econometric applications, and rarely is it plausible that the data are missing (completely) at random. This paper proposes a methodology for studying the robustness of results drawn from incomplete datasets. Selection is measured as the divergence from the distribution of complete observations to the distribution of incomplete observations. The breakdown point is defined as the minimal amount of selection needed to overturn a given result. Reporting point estimates and lower confidence intervals of the breakdown point is a simple, concise way to communicate the robustness of a result. An estimator of the breakdown point is proposed and shown

\sqrt{n}

-consistent and asymptotically normal. This estimator can be applied directly to conclusions drawn from any model identified with the generalized method of moments (GMM) that satisfies mild assumptions. Simulations demonstrate the finite sample performance of the breakdown point estimator on averages, linear regression, and logistic regression. The methodology is illustrated by estimating the breakdown point of conclusions drawn from several randomized controlled trails suffering from missing data due to attrition.

数据丢失在计量经济学应用中是普遍存在的，而且数据（完全）随机丢失的情况很少是可信的。本文提出了一种研究不完整数据集结果鲁棒性的方法。选择是用从完全观测分布到不完全观测分布的发散度来衡量的。分解点被定义为推翻给定结果所需的最小选择量。报告点估计和故障点的较低置信区间是传达结果稳健性的一种简单、简明的方法。给出了击穿点的估计量，并证明了其n一致和渐近正态性。该估计量可以直接应用于由广义矩法（GMM）识别的任何模型得出的结论，该模型满足温和的假设。仿真结果表明，该故障点估计器在平均、线性回归和逻辑回归上具有有限样本的性能。该方法是通过估计从几个随机对照试验中得出的结论的崩溃点来说明的，这些试验由于磨损而丢失了数据。

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引用次数: 0

Data-driven policy learning for continuous treatments 数据驱动的连续治疗策略学习

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-25 DOI: 10.1016/j.jeconom.2025.106170

Chunrong Ai , Yue Fang , Haitian Xie

This paper studies policy learning for continuous treatments from observational data. Continuous treatments present more significant challenges than discrete ones because population welfare may need nonparametric estimation, and policy space may be infinite-dimensional and may satisfy shape restrictions. We propose to approximate the policy space with a sequence of finite-dimensional spaces and, for any given policy, obtain the empirical welfare by applying the kernel method. We consider two cases: known and unknown propensity scores. In the latter case, we allow for machine learning of the propensity score and modify the empirical welfare to account for the effect of machine learning. The learned policy maximizes the empirical welfare or the modified empirical welfare over the approximating space. In both cases, we modify the penalty algorithm proposed in Mbakop and Tabord-Meehan (2021) to data-automate the tuning parameters (i.e., bandwidth and dimension of the approximating space) and establish an oracle inequality for the welfare regret.

本文研究了基于观测数据的连续治疗策略学习。由于人口福利可能需要非参数估计，并且政策空间可能是无限维的，并且可能满足形状限制，因此连续处理比离散处理面临更大的挑战。我们提出用有限维空间序列来近似策略空间，并对任意给定的策略，应用核方法获得经验福利。我们考虑两种情况：已知和未知的倾向得分。在后一种情况下，我们允许倾向得分的机器学习，并修改经验福利来解释机器学习的影响。学习策略使经验福利或修正经验福利在近似空间上最大化。在这两种情况下，我们修改了Mbakop和Tabord-Meehan（2021）提出的惩罚算法，使调优参数（即近似空间的带宽和维度）数据自动化，并建立了福利后悔的oracle不等式。

引用次数: 0

Empirical welfare maximization with constraints 有约束的经验福利最大化

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-24 DOI: 10.1016/j.jeconom.2025.106169

Liyang Sun

Empirical Welfare Maximization (EWM) is a framework that can be used to select welfare program eligibility policies based on data. This paper extends EWM by allowing for uncertainty in estimating the budget needed to implement the selected policy, in addition to its welfare. Due to the additional estimation error, I show there exist no rules that achieve the highest welfare possible while satisfying a budget constraint uniformly over a wide range of DGPs. This differs from the setting without a budget constraint where uniformity is achievable. I propose an alternative trade-off rule and illustrate it with Medicaid expansion, a setting with imperfect take-up and varying program costs.

实证福利最大化（Empirical Welfare Maximization， EWM）是一个基于数据选择福利项目资格政策的框架。本文通过考虑实施所选政策所需预算的不确定性以及其福利来扩展EWM。由于额外的估计误差，我表明不存在能够在满足预算约束的同时，在广泛的dpp范围内实现最高福利的规则。这与没有预算限制的情况不同，在这种情况下，一致性是可以实现的。我提出了另一种权衡规则，并以医疗补助计划的扩张为例进行了说明，这是一个不完美的占用和不同项目成本的设置。

引用次数: 0

Multivariate kernel regression in vector and product metric spaces 向量和积度量空间中的多元核回归

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-22 DOI: 10.1016/j.jeconom.2025.106168

Marcia Schafgans , Victoria Zinde-Walsh

This paper derives limit properties of nonparametric kernel regression estimators without requiring existence of density for regressors in

R^{q}

. In functional regression limit properties are established for multivariate functional regression. The rate and asymptotic normality for the Nadaraya–Watson (NW) estimator is established for distributions of regressors in

R^{q}

that allow for mass points, factor structure, multicollinearity and nonlinear dependence, as well as fractal distribution; when bounded density exists we provide statistical guarantees for the standard rate and the asymptotic normality without requiring smoothness. We demonstrate faster convergence associated with dimension reducing types of singularity, such as a fractal distribution or a factor structure in the regressors. The paper extends asymptotic normality of kernel functional regression to multivariate regression over a product of any number of metric spaces. Finite sample evidence confirms rate improvement due to singularity in regression over

R^{q}

. For functional regression the simulations underline the importance of accounting for multiple functional regressors. We demonstrate the applicability and advantages of the NW estimator in our empirical study, which reexamines the job training program evaluation based on the LaLonde data.

本文导出了非参数核回归估计量的极限性质，而不要求回归量在Rq中存在密度。在泛函回归中，建立了多元泛函回归的极限性质。对于Rq中考虑质量点、因子结构、多重共线性和非线性依赖以及分形分布的回归量分布，建立了Nadaraya-Watson （NW）估计量的速率和渐近正态性；当有界密度存在时，我们提供了标准率和渐近正态性的统计保证，而不要求平滑性。我们展示了与降维奇点类型相关的更快收敛，例如回归量中的分形分布或因子结构。本文将核泛函回归的渐近正态性推广到任意数量度量空间积上的多元回归。有限样本证据证实了由于Rq上回归的奇异性而导致的速率提高。对于函数回归，模拟强调了考虑多个函数回归量的重要性。通过对LaLonde数据的实证研究，验证了NW估计器的适用性和优越性。

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引用次数: 0

Estimation and inference for CP tensor factor models CP张量因子模型的估计与推理

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-18 DOI: 10.1016/j.jeconom.2025.106167

Bin Chen , Yuefeng Han , Qiyang Yu

High-dimensional tensor-valued data have recently gained attention from researchers in economics and finance. We consider the estimation and inference of high-dimensional tensor factor models, where each dimension of the tensor diverges. Our focus is on a factor model that admits CP-type tensor decomposition, which allows for non-orthogonal loading vectors. Based on the contemporary covariance matrix, we propose an iterative simultaneous projection estimation method. Our estimator is robust to weak dependence among factors and weak correlation across different dimensions in the idiosyncratic shocks. We establish an inferential theory, demonstrating both consistency and asymptotic normality under relaxed assumptions. Within a unified framework, we consider two eigenvalue ratio-based estimators for the number of factors in a tensor factor model and justify their consistency. Simulation studies confirm the theoretical results and an empirical application to sorted portfolios reveals three important factors: a market factor, a long-short factor, and a volatility factor.

高维张量值数据近年来受到了经济学和金融学研究者的关注。我们考虑高维张量因子模型的估计和推理，其中张量的每个维度都是发散的。我们的重点是一个允许cp型张量分解的因子模型，它允许非正交加载向量。基于当代协方差矩阵，提出了一种迭代同步投影估计方法。我们的估计器对特殊冲击中因素之间的弱依赖性和不同维度之间的弱相关性具有鲁棒性。我们建立了一个推理理论，证明了在宽松假设下的一致性和渐近正态性。在一个统一的框架内，我们考虑了张量因子模型中两个基于特征值比率的估计量，并证明了它们的一致性。模拟研究证实了理论结果，并通过对组合排序的实证应用揭示了三个重要因素：市场因素、多空因素和波动因素。

引用次数: 0

Non-Parametric identification of stationary dynamic discrete choicemodels 平稳动态离散选择模型的非参数辨识

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-10 DOI: 10.1016/j.jeconom.2025.106164

Adam Dearing

We provide new non-parametric identification results for stationary dynamic discrete choice models, where both the flow utilities and the distribution of unobserved shocks are fully non-parametric. Our main identification result establishes that a multinomial choice model is non-parametrically identified when there is a special regressor that (i) has a known derivative in the utility function (e.g., enters utility quasi-linearly); (ii) only affects the evolution of the other variables indirectly through the policy function; and (iii) exhibits a type of bounded persistence. To our knowledge, this is the first non-parametric identification result for stationary models that does not require any state variable to exhibit a form of serial independence. Our identification arguments map conditional choice probabilities and the state transition process into structural primitives, and they can be applied to models with persistent unobserved heterogeneity. Our identification results have broad applicability in practice, since candidate variables for the special regressor are already common in the empirical literature.

我们为平稳动态离散选择模型提供了新的非参数识别结果，其中流量效用和未观察到的冲击分布都是完全非参数的。我们的主要识别结果表明，当有一个特殊的回归量(i)在效用函数中有一个已知的导数（例如，进入效用准线性）时，多项选择模型是非参数识别的；（二）仅通过政策函数间接影响其他变量的演化；并且（iii）展示了一种有界持久性。据我们所知，这是平稳模型的第一个非参数识别结果，不需要任何状态变量来表现出序列独立性的形式。我们的识别参数将条件选择概率和状态转换过程映射到结构原语中，并且它们可以应用于具有持续未观察到异质性的模型。我们的识别结果在实践中具有广泛的适用性，因为特殊回归量的候选变量在经验文献中已经很常见。

引用次数: 0

Quantile approach to intertemporal consumption with multiple assets 多资产跨期消费的分位数方法

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-08 DOI: 10.1016/j.jeconom.2025.106161

Luciano de Castro , Antonio F. Galvao , Hirofumi Ota

This paper develops a novel economic model and econometric methods to jointly identify and estimate parameters related to intertemporal preference and risk attitude. We begin by formulating an intertemporal consumption model with multiple assets based on dynamic quantile preferences that account for elasticity of intertemporal substitution, risk attitude, and discount factor. We establish the properties of the model and obtain interesting explicit expressions for the value function, and the optimal consumption. In addition, we derive the quantile Euler equation. From this equilibrium condition, we show that, when at least two returns are available, one is able to separately identify the risk attitude, which is measured by the quantile τ, and the elasticity of intertemporal substitution and discount factor. We propose new econometric theory for estimating these parameters of interest and establish the statistical properties of the semiparametric two-step estimator. In particular, we show that the estimator is consistent, with a cubic-root rate of convergence, derive its limiting distribution, and suggest a subsampling procedure for inference. Finally, we empirically estimate the structural model, and results show evidence that discount factor is slightly smaller than one, the elasticity of intertemporal substitution is larger than one, and risk attitude is close to the median.

本文建立了一个新的经济模型和计量经济学方法来共同识别和估计与跨期偏好和风险态度有关的参数。首先，我们基于动态分位数偏好建立了一个跨期消费模型，该模型考虑了跨期替代的弹性、风险态度和贴现因子。我们建立了模型的性质，得到了价值函数和最优消费的显式表达式。此外，我们导出了分位数欧拉方程。从这一均衡条件出发，我们发现，当至少存在两种收益时，其中一种能够分别识别风险态度（由分位数τ衡量）和跨期替代和贴现因子的弹性。我们提出了新的计量经济学理论来估计这些感兴趣的参数，并建立了半参数两步估计量的统计性质。特别地，我们证明了估计量是一致的，具有三根的收敛速率，推导了它的极限分布，并提出了一种推断的子抽样方法。最后对结构模型进行实证估计，结果表明贴现因子略小于1，跨期替代弹性大于1，风险态度接近中位数。

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引用次数: 0

Identification of incomplete information allocation-transfer games in monotone equilibrium 单调均衡下不完全信息分配-转移对策的辨识

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-12-06 DOI: 10.1016/j.jeconom.2025.106104

Brendan Kline

This paper develops identification results for the distribution of valuations in a class of allocation-transfer games. These games determine an allocation of units of a valuable object and arrangement of monetary transfers on the basis of the actions taken by the players. The results allow dependent valuations, discrete parts of the action space, non-smoothness, and unknown (to the econometrician, prior to observing the data) details of how the allocations and transfers are determined. The identification strategy is based on the assumption of a single monotone equilibrium used in the data, in which players use strategies that are weakly increasing functions of their valuations for the object being allocated. As extensions, the identification strategy accommodates certain relaxations of the equilibrium assumption, while maintaining the assumption of the use of monotone strategies.

本文给出了一类分配-转移对策中估价分布的辨识结果。这些博弈决定了有价值物品的单位分配和基于玩家所采取的行动的货币转移安排。结果允许依赖的估值，行动空间的离散部分，非平滑性以及如何确定分配和转移的未知细节（对计量经济学家来说，在观察数据之前）。识别策略基于数据中使用的单一单调均衡假设，其中玩家使用的策略是对分配对象的估值的弱增加函数。作为扩展，识别策略在保持使用单调策略的前提下，适应了均衡假设的某些松弛。

引用次数: 0

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