Journal of Econometrics最新文献

英文中文

Uncovering mild drift in asset prices with intraday high-frequency data 利用日内高频数据揭示资产价格的温和波动

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01 Epub Date: 2025-12-31 DOI: 10.1016/j.jeconom.2025.106177

Shuping Shi , Peter C.B. Phillips

Asset prices are commonly represented as a drift-diffusion process, wherein the drift component denotes the anticipated return of the asset within some time frame, while the diffusion component accommodates random shocks. The drift component has substantial practical significance but accurate estimation is typically challenging and has met with limited success in the existing literature except over large time spans. This paper explores a comprehensive range of drift-diffusion models that include constant, linear, trending, and bursting drift. Conditions are identified under which realized squared drift

RSD

is a reliable tool for gauging integrated squared drift when the time span T_n is large enough. The recently introduced drift-robust quarticity estimator

RiceQ

is found to retain consistency under twin asymptotics with T_n → ∞ and infill Δ_n → 0, subject to some constraints on the divergence rate of T_n across different drift specifications. An inferential method of detecting nonzero drift using

RSD

and

RiceQ

is proposed and the drift tests are shown to be consistent under different data generating processes with various conditions on T_n. Simulation studies reveal excellent performance of the realized squared drift measure and the drift test in finite samples. The drift test is demonstrated empirically in real-time surveillance of market abnormalities in the Nasdaq Composite Index over two notable sample periods: the dotcom bubble (1996–2003) and the artificial intelligence boom (2016–2024), using intraday data.

资产价格通常被表示为一个漂移-扩散过程，其中漂移分量表示资产在某个时间框架内的预期收益，而扩散分量则适应随机冲击。漂移分量具有重要的实际意义，但准确的估计通常是具有挑战性的，并且在现有文献中除了在大的时间跨度之外取得了有限的成功。本文探讨了广泛的漂移-扩散模型，包括常数，线性，趋势和爆发漂移。确定了当时间跨度Tn足够大时，实现平方漂移RSD是测量积分平方漂移的可靠工具的条件。最近引入的漂移鲁棒量估计器RiceQ在Tn → ∞和填充Δn → 0的双渐近下保持一致性，但Tn在不同漂移规范上的发散率受到一定的约束。提出了一种基于RSD和RiceQ的非零漂移的推理检测方法，在Tn上不同条件下的不同数据生成过程中，漂移测试结果是一致的。仿真研究表明，所实现的平方漂移测量和有限样本漂移测试具有良好的性能。利用日内数据，在纳斯达克综合指数两个显著样本时期(互联网泡沫时期（1996-2003年）和人工智能繁荣时期（2016-2024年）的市场异常实时监测中，实证证明了漂移测试。

{"title":"Uncovering mild drift in asset prices with intraday high-frequency data","authors":"Shuping Shi , Peter C.B. Phillips","doi":"10.1016/j.jeconom.2025.106177","DOIUrl":"10.1016/j.jeconom.2025.106177","url":null,"abstract":"<div><div>Asset prices are commonly represented as a drift-diffusion process, wherein the drift component denotes the anticipated return of the asset within some time frame, while the diffusion component accommodates random shocks. The drift component has substantial practical significance but accurate estimation is typically challenging and has met with limited success in the existing literature except over large time spans. This paper explores a comprehensive range of drift-diffusion models that include constant, linear, trending, and bursting drift. Conditions are identified under which realized squared drift <span><math><mi>RSD</mi></math></span> is a reliable tool for gauging integrated squared drift when the time span <em>T<sub>n</sub></em> is large enough. The recently introduced drift-robust quarticity estimator <span><math><mi>RiceQ</mi></math></span> is found to retain consistency under twin asymptotics with <em>T<sub>n</sub></em> → ∞ and infill Δ<sub><em>n</em></sub> → 0, subject to some constraints on the divergence rate of <em>T<sub>n</sub></em> across different drift specifications. An inferential method of detecting nonzero drift using <span><math><mi>RSD</mi></math></span> and <span><math><mi>RiceQ</mi></math></span> is proposed and the drift tests are shown to be consistent under different data generating processes with various conditions on <em>T<sub>n</sub></em>. Simulation studies reveal excellent performance of the realized squared drift measure and the drift test in finite samples. The drift test is demonstrated empirically in real-time surveillance of market abnormalities in the Nasdaq Composite Index over two notable sample periods: the dotcom bubble (1996–2003) and the artificial intelligence boom (2016–2024), using intraday data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106177"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145880563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A jackknife bias correction for nonlinear network data models with fixed effects 具有固定效应的非线性网络数据模型的折刀偏差校正

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01 Epub Date: 2025-11-19 DOI: 10.1016/j.jeconom.2025.106130

David W. Hughes

I introduce a new method for bias correction of dyadic models with agent-specific fixed effects, including the dyadic link formation model with homophily and degree heterogeneity. The proposed approach uses a jackknife procedure to deal with the incidental parameters problem. The method can be applied to both directed and undirected networks, allows for non-binary outcome variables, and can be used to bias correct estimates of average effects and counterfactual outcomes. I also show how the jackknife can be used to bias correct fixed-effect averages over functions that depend on multiple nodes, e.g. triads or tetrads in the network. As an example, I implement specification tests for dependence across dyads, such as reciprocity or transitivity. Finally, I demonstrate the usefulness of the estimator in an application to a gravity model for import/export relationships across countries.

本文介绍了一种新的具有主体特异性固定效应的二元模型的偏差校正方法，包括具有同质性和程度异质性的二元链接形成模型。该方法采用折刀法处理附带参数问题。该方法可应用于有向和无向网络，允许非二元结果变量，并可用于偏差正确估计平均效果和反事实结果。我还展示了如何使用jackknife来偏差校正依赖于多个节点的函数的固定效应平均值，例如网络中的三元组或四元组。作为一个例子，我实现了对二元依赖性的规范测试，比如互易性或传递性。最后，我将演示估计器在一个应用程序中对跨国家进出口关系的引力模型的有用性。

引用次数: 0

Jump detection in high-frequency order prices 高频订单价格的跳跃检测

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01 Epub Date: 2025-11-12 DOI: 10.1016/j.jeconom.2025.106133

Markus Bibinger , Nikolaus Hautsch , Alexander Ristig

We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical model of additive, centered market microstructure noise, we consider one-sided microstructure noise for order prices in a limit order book.

We develop methods to estimate, locate and test for jumps using local minima of best ask quotes. We provide a local jump test and show that we can consistently estimate jump sizes and jump times. One main contribution is a global test for jumps. We establish the asymptotic properties and optimality of this test. We derive the asymptotic distribution of a maximum statistic under the null hypothesis of no jumps based on extreme value theory. We prove consistency under the alternative hypothesis. The rate of convergence for local alternatives is determined and shown to be much faster than optimal rates for the standard market microstructure noise model. This allows the identification of smaller jumps. In the process, we establish uniform consistency for spot volatility estimation under one-sided noise. Online jump detection based on the new approach is shown to achieve a speed advantage compared to standard methods applied to mid quotes.

A simulation study sheds light on the finite-sample implementation and properties of the new approach and draws a comparison to a popular method for market microstructure noise. We showcase how our new approach helps to improve jump detection in an empirical analysis of intra-daily limit order book data.

我们提出的方法来推断跳跃的半鞅，描述长期价格动态，基于离散的，有噪声的，高频的观察。不同于经典的附加的、中心的市场微观结构噪声模型，我们考虑了限价订单中订单价格的片面微观结构噪声。我们开发了使用最佳报价的局部最小值来估计、定位和测试跳跃的方法。我们提供了一个局部跳跃测试，并证明我们可以一致地估计跳跃大小和跳跃时间。一个主要贡献是对跳跃的全球测试。我们建立了这个检验的渐近性质和最优性。基于极值理论，导出了无跳跃零假设下最大统计量的渐近分布。我们在备择假设下证明了一致性。确定并证明了局部替代方案的收敛速度比标准市场微观结构噪声模型的最佳速度快得多。这允许识别较小的跳跃。在此过程中，我们建立了单边噪声下的点波动率估计的一致一致性。与应用于中引号的标准方法相比，基于新方法的在线跳转检测显示具有速度优势。仿真研究揭示了新方法的有限样本实现和特性，并与市场微观结构噪声的流行方法进行了比较。我们展示了我们的新方法如何帮助改善跳跃检测在每日限价订单数据的实证分析。

{"title":"Jump detection in high-frequency order prices","authors":"Markus Bibinger , Nikolaus Hautsch , Alexander Ristig","doi":"10.1016/j.jeconom.2025.106133","DOIUrl":"10.1016/j.jeconom.2025.106133","url":null,"abstract":"<div><div>We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical model of additive, centered market microstructure noise, we consider one-sided microstructure noise for order prices in a limit order book.</div><div>We develop methods to estimate, locate and test for jumps using local minima of best ask quotes. We provide a local jump test and show that we can consistently estimate jump sizes and jump times. One main contribution is a global test for jumps. We establish the asymptotic properties and optimality of this test. We derive the asymptotic distribution of a maximum statistic under the null hypothesis of no jumps based on extreme value theory. We prove consistency under the alternative hypothesis. The rate of convergence for local alternatives is determined and shown to be much faster than optimal rates for the standard market microstructure noise model. This allows the identification of smaller jumps. In the process, we establish uniform consistency for spot volatility estimation under one-sided noise. Online jump detection based on the new approach is shown to achieve a speed advantage compared to standard methods applied to mid quotes.</div><div>A simulation study sheds light on the finite-sample implementation and properties of the new approach and draws a comparison to a popular method for market microstructure noise. We showcase how our new approach helps to improve jump detection in an empirical analysis of intra-daily limit order book data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106133"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145486066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Exogenous consideration and extended random utility 外生考虑与扩展随机效用

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01 Epub Date: 2025-12-29 DOI: 10.1016/j.jeconom.2025.106166

Roy Allen

In a consideration set model, an individual maximizes utility among the considered alternatives. I relate an exogenous consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which utility can be

- \infty

for infeasible alternatives. When observable utility shifters are bounded, all three models are observationally equivalent. Moreover, they have the same counterfactual bounds and welfare formulas given variation in price-like utility indices. For attention interventions, welfare cannot change in the full consideration model but is completely unbounded in the limited consideration model. The identified set for consideration set probabilities has a minimal width for any bounded support of shifters, but with unbounded support it is a point: identification “towards” infinity does not resemble identification “at” infinity.

在考虑集模型中，个人在考虑的备选方案中实现效用最大化。我将外生考虑集加性随机效用模型与经典离散选择和扩展加性随机效用模型联系起来，其中对于不可行的替代方案，效用可以是−∞。当可观测的效用位移有界时，所有三个模型在观测上是等效的。此外，它们具有相同的反事实界限和给定价格类效用指数变化的福利公式。对于注意干预，在充分考虑模型下，福利不会发生变化，而在有限考虑模型下，福利是完全无界的。对于移位器的任何有界支持，考虑集合概率的识别集具有最小宽度，但对于无界支持，它是一个点：“趋向”无穷远的识别与“趋向”无穷远的识别不同。

引用次数: 0

Inference for time-varying factor models under local stationarity 局部平稳性下时变因子模型的推理

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2026-01-01 Epub Date: 2025-12-05 DOI: 10.1016/j.jeconom.2025.106154

Weichi Wu , Zhou Zhou , Yongmiao Hong

This paper considers estimation of and testing for a class of locally stationary time series factor models with evolutionary dynamics, where the entries and dimension of the factor loading matrix are allowed to vary with time while the factors and idiosyncratic components are locally stationary. We propose an adaptive sieve estimator for the span of the time-varying loading matrix of a locally stationary factor process. A uniformly consistent estimator of the effective number of factors is developed via eigenanalysis of a non-negative definite time-varying matrix. We also propose a possibly high-dimensional bootstrap test for the hypothesis of constant factor loadings by comparing the kernels of the covariance matrices of the whole time series with their local counterparts. This test avoids the assumption that factors and idiosyncratic errors are stationary or the covariance matrix of factors is time-invariant. Our results cover both cases of white noise idiosyncratic errors and serially correlated idiosyncratic errors. We examine the finite sample performance of our proposed estimator and test via simulation studies and real data analysis.

考虑一类具有演化动力学的局部平稳时间序列因子模型的估计和检验，其中因子加载矩阵的条目和维数随时间变化，而因子和特质成分是局部平稳的。针对一类局部平稳因子过程的时变载荷矩阵的跨度，提出了一种自适应筛估计器。通过对非负定时变矩阵的特征分析，给出了有效因子数的一致一致估计。我们还通过比较整个时间序列的协方差矩阵的核与局部对应的协方差矩阵的核，提出了一个可能的高维自举检验。这个测试避免了假设因素和特质误差是平稳的，或者因素的协方差矩阵是时不变的。我们的结果涵盖了白噪声特异性误差和序列相关特异性误差两种情况。我们通过模拟研究和实际数据分析来检验我们提出的估计器的有限样本性能。

{"title":"Inference for time-varying factor models under local stationarity","authors":"Weichi Wu , Zhou Zhou , Yongmiao Hong","doi":"10.1016/j.jeconom.2025.106154","DOIUrl":"10.1016/j.jeconom.2025.106154","url":null,"abstract":"<div><div>This paper considers estimation of and testing for a class of locally stationary time series factor models with evolutionary dynamics, where the entries and dimension of the factor loading matrix are allowed to vary with time while the factors and idiosyncratic components are locally stationary. We propose an adaptive sieve estimator for the span of the time-varying loading matrix of a locally stationary factor process. A uniformly consistent estimator of the effective number of factors is developed via eigenanalysis of a non-negative definite time-varying matrix. We also propose a possibly high-dimensional bootstrap test for the hypothesis of constant factor loadings by comparing the kernels of the covariance matrices of the whole time series with their local counterparts. This test avoids the assumption that factors and idiosyncratic errors are stationary or the covariance matrix of factors is time-invariant. Our results cover both cases of white noise idiosyncratic errors and serially correlated idiosyncratic errors. We examine the finite sample performance of our proposed estimator and test via simulation studies and real data analysis.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106154"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145690428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

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 : 2026-01-01 Epub 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

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 : 2026-01-01 Epub 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

Identification and estimation of partial effects in nonlinear semiparametric panel models 非线性半参数面板模型部分效应的辨识与估计

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-11-01 Epub Date: 2024-09-28 DOI: 10.1016/j.jeconom.2024.105860

Laura Liu , Alexandre Poirier , Ji-Liang Shiu

Average partial effects (APEs) are often not point identified in panel models with unrestricted unobserved individual heterogeneity, as in binary response panel models with fixed effects and logistic errors for example. This lack of point identification occurs despite the identification of these models’ common coefficients. We provide a unified framework to establish the point identification of various partial effects in a wide class of nonlinear semiparametric models under an index sufficiency assumption on the unobserved heterogeneity, even when the error distribution is unspecified and non-stationary. This assumption does not impose parametric restrictions on the unobserved heterogeneity and idiosyncratic errors. We also present partial identification results when the support condition fails. We then propose three-step semiparametric estimators for APEs, average structural functions, and average marginal effects, and show their consistency and asymptotic normality. Finally, we illustrate our approach in a study of determinants of married women’s labor supply.

在具有不受限制的未观察到的个体异质性的面板模型中，平均部分效应（ape）通常不能被点识别，例如在具有固定效应和逻辑误差的二元响应面板模型中。尽管识别了这些模型的公共系数，但仍然会出现缺乏点识别的情况。我们提供了一个统一的框架，在未观测到异质性的指标充分性假设下，即使误差分布未指定和非平稳，也可以在一类广泛的非线性半参数模型中建立各种局部效应的点识别。这一假设没有对未观察到的异质性和特质误差施加参数限制。给出了支撑条件失效时的部分辨识结果。然后，我们提出了类似性、平均结构函数和平均边际效应的三步半参数估计，并证明了它们的一致性和渐近正态性。最后，我们在已婚妇女劳动力供给决定因素的研究中说明了我们的方法。

引用次数: 0

Shrinkage methods for treatment choice 收缩处理方法的选择

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-11-01 Epub Date: 2025-10-16 DOI: 10.1016/j.jeconom.2025.106117

Takuya Ishihara , Daisuke Kurisu

This study examines the problem of determining whether to treat individuals based on observed covariates. The most common decision rule is the conditional empirical success (CES) rule proposed by Manski (2004), which assigns individuals to treatments that yield the best experimental outcomes conditional on the observed covariates. Conversely, using shrinkage estimators, which shrink unbiased but noisy preliminary estimates toward the average of these estimates, is a common approach in statistical estimation problems because it is well-known that shrinkage estimators may have smaller mean squared errors than unshrunk estimators. Inspired by this idea, we propose a computationally tractable shrinkage rule that selects the shrinkage factor by minimizing an upper bound of the maximum regret. Then, we compare the maximum regret of the proposed shrinkage rule with those of the CES and pooling rules when the space of conditional average treatment effects (CATEs) is correctly specified or misspecified. Our theoretical results demonstrate that the shrinkage rule performs well in many cases and these findings are further supported by numerical experiments. Specifically, we show that the maximum regret of the shrinkage rule can be strictly smaller than those of the CES and pooling rules in certain cases when the space of CATEs is correctly specified. In addition, we find that the shrinkage rule is robust against misspecification of the space of CATEs. Finally, we apply our method to experimental data from the National Job Training Partnership Act Study.

本研究探讨了是否根据观察到的协变量对个体进行治疗的问题。最常见的决策规则是Manski（2004）提出的条件经验成功（CES）规则，该规则根据观察到的协变量将个体分配给产生最佳实验结果的治疗。相反，使用收缩估计器，将无偏但有噪声的初步估计缩小到这些估计的平均值，是统计估计问题中的常用方法，因为众所周知，收缩估计器可能比未收缩估计器具有更小的均方误差。受此启发，我们提出了一种计算上易于处理的收缩规则，该规则通过最小化最大遗憾的上界来选择收缩因子。然后，我们比较了在条件平均处理效应（CATEs）空间正确指定或错误指定时，所提出的收缩规则与ce和池化规则的最大遗憾。理论结果表明，在许多情况下，收缩规律都是有效的，数值实验结果进一步支持了这一结论。具体来说，我们证明了在某些情况下，当正确指定CATEs的空间时，收缩规则的最大遗憾可以严格小于CES和池化规则的最大遗憾。此外，我们发现收缩规则对于CATEs空间的错配具有鲁棒性。最后，我们将我们的方法应用于国家职业培训伙伴关系法案研究的实验数据。

{"title":"Shrinkage methods for treatment choice","authors":"Takuya Ishihara , Daisuke Kurisu","doi":"10.1016/j.jeconom.2025.106117","DOIUrl":"10.1016/j.jeconom.2025.106117","url":null,"abstract":"<div><div>This study examines the problem of determining whether to treat individuals based on observed covariates. The most common decision rule is the conditional empirical success (CES) rule proposed by Manski (2004), which assigns individuals to treatments that yield the best experimental outcomes conditional on the observed covariates. Conversely, using shrinkage estimators, which shrink unbiased but noisy preliminary estimates toward the average of these estimates, is a common approach in statistical estimation problems because it is well-known that shrinkage estimators may have smaller mean squared errors than unshrunk estimators. Inspired by this idea, we propose a computationally tractable shrinkage rule that selects the shrinkage factor by minimizing an upper bound of the maximum regret. Then, we compare the maximum regret of the proposed shrinkage rule with those of the CES and pooling rules when the space of conditional average treatment effects (CATEs) is correctly specified or misspecified. Our theoretical results demonstrate that the shrinkage rule performs well in many cases and these findings are further supported by numerical experiments. Specifically, we show that the maximum regret of the shrinkage rule can be strictly smaller than those of the CES and pooling rules in certain cases when the space of CATEs is correctly specified. In addition, we find that the shrinkage rule is robust against misspecification of the space of CATEs. Finally, we apply our method to experimental data from the National Job Training Partnership Act Study.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"252 ","pages":"Article 106117"},"PeriodicalIF":4.0,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145323901","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Quantile graphical models: Prediction and conditional independence with applications to systemic risk 分位数图形模型：预测和条件独立性与系统风险的应用

IF 4 3区经济学 Q1 ECONOMICS

Journal of Econometrics

Pub Date : 2025-11-01 Epub Date: 2025-10-09 DOI: 10.1016/j.jeconom.2025.106100

Alexandre Belloni , Mingli Chen , Victor Chernozhukov

We propose two types of Quantile Graphical Models: (i) Conditional Independence Quantile Graphical Models (CIQGMs) characterize the conditional independence by evaluating the distributional dependence structure at each quantile index, as such, those can be used for validation of the graph structure in the causal graphical models; (ii) Prediction Quantile Graphical Models (PQGMs) characterize the statistical dependencies through the graphs of the best linear predictors under asymmetric loss functions. PQGMs make weaker assumptions than CIQGMs as they allow for misspecification. One advantage of these models is that we can apply them to large collections of variables driven by non-Gaussian and non-separable shocks. Because of QGMs’ ability to handle large collections of variables and focus on specific parts of the distributions, we could apply them to quantify tail interdependence. The resulting tail risk network can be used for measuring systemic risk contributions that help make inroads in understanding international financial contagion and dependence structures of returns under downside market movements.

We develop estimation and inference methods focusing on the high-dimensional case, where the number of nodes in the graph is large as compared to the number of observations. For CIQGMs, these results include valid simultaneous choices of penalty functions, uniform rates of convergence, and confidence regions that are simultaneously valid. We also derive analogous results for PQGMs, which include new results for penalized quantile regressions in high-dimensional settings to handle misspecification, many controls, and a continuum of additional conditioning events.

我们提出了两种类型的分位数图模型：(i)条件独立分位数图模型（CIQGMs）通过评估每个分位数指标上的分布依赖结构来表征条件独立性，因此这些分位数图模型可以用于验证因果图模型中的图结构；（ii）预测分位数图形模型（PQGMs）通过非对称损失函数下最佳线性预测因子的图形来表征统计依赖性。pqgm的假设比ciqgm弱，因为它们允许错误说明。这些模型的一个优点是，我们可以将它们应用于由非高斯和不可分离冲击驱动的大量变量集合。由于qgm能够处理大量变量集合并专注于分布的特定部分，因此我们可以将它们应用于量化尾部相互依赖性。由此产生的尾部风险网络可用于衡量系统性风险的贡献，这有助于理解国际金融传染和下行市场运动下回报的依赖结构。我们开发了专注于高维情况的估计和推理方法，其中图中的节点数量比观测数量大。对于ciqgm，这些结果包括罚函数的有效同时选择、统一的收敛率和同时有效的置信区域。我们还得出了pqgm的类似结果，其中包括在高维设置中处理错误规范、许多控制和连续附加条件事件的惩罚分位数回归的新结果。

{"title":"Quantile graphical models: Prediction and conditional independence with applications to systemic risk","authors":"Alexandre Belloni , Mingli Chen , Victor Chernozhukov","doi":"10.1016/j.jeconom.2025.106100","DOIUrl":"10.1016/j.jeconom.2025.106100","url":null,"abstract":"<div><div>We propose two types of Quantile Graphical Models: (i) Conditional Independence Quantile Graphical Models (CIQGMs) characterize the conditional independence by evaluating the distributional dependence structure at each quantile index, as such, those can be used for validation of the graph structure in the causal graphical models; (ii) Prediction Quantile Graphical Models (PQGMs) characterize the statistical dependencies through the graphs of the best linear predictors under asymmetric loss functions. PQGMs make weaker assumptions than CIQGMs as they allow for misspecification. One advantage of these models is that we can apply them to large collections of variables driven by non-Gaussian and non-separable shocks. Because of QGMs’ ability to handle large collections of variables and focus on specific parts of the distributions, we could apply them to quantify tail interdependence. The resulting tail risk network can be used for measuring systemic risk contributions that help make inroads in understanding international financial contagion and dependence structures of returns under downside market movements.</div><div>We develop estimation and inference methods focusing on the high-dimensional case, where the number of nodes in the graph is large as compared to the number of observations. For CIQGMs, these results include valid simultaneous choices of penalty functions, uniform rates of convergence, and confidence regions that are simultaneously valid. We also derive analogous results for PQGMs, which include new results for penalized quantile regressions in high-dimensional settings to handle misspecification, many controls, and a continuum of additional conditioning events.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"252 ","pages":"Article 106100"},"PeriodicalIF":4.0,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145266918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Journal of Econometrics

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀