Pub Date : 2022-04-25DOI: 10.1017/S0266466622000160
Martin Schumann
In many nonlinear panel data models with fixed effects maximum likelihood estimators suffer from the incidental parameters problem, which often entails that point estimates are markedly biased. While the recent literature has mostly generated methods that yield a first-order bias reduction relative to maximum likelihood, we derive a first- and second-order bias correction of the profile likelihood based on “expected quantities” which differs from the corresponding correction based on “sample averages” derived in Dhaene and Sun (2021, Journal of Econometrics 220, 227–252). While consistency and asymptotic normality of our estimator are derived in a setting where both the number of individuals and the number of time periods grow to infinity, we illustrate in a simulation study that our second-order bias reduction indeed yields an estimator with substantially improved small sample properties relative to its first-order unbiased counterpart, especially when less than 10 time periods are available.
在许多具有固定效应的非线性面板数据模型中，极大似然估计存在附带参数问题，这往往导致点估计明显偏倚。虽然最近的文献大多产生了相对于最大似然产生一阶偏差减少的方法，但我们基于“期望数量”得出了剖面似然的一阶和二阶偏差校正，这与基于Dhaene和Sun得出的“样本平均值”的相应校正不同(2021,Journal of Econometrics 220, 227-252)。虽然我们的估计量的一致性和渐近正态性是在个体数量和时间段数量都增长到无穷大的情况下推导出来的，但我们在模拟研究中说明，我们的二阶偏倚减少确实产生了一个相对于一阶无偏对偶具有显著改善的小样本性质的估计量，特别是当可用的时间段少于10个时。
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Pub Date : 2022-04-06DOI: 10.1017/S0266466622000020
F. Bandi, A. Tamoni
We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies, over scales, or upon aggregation. To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.
{"title":"SPECTRAL FINANCIAL ECONOMETRICS","authors":"F. Bandi, A. Tamoni","doi":"10.1017/S0266466622000020","DOIUrl":"https://doi.org/10.1017/S0266466622000020","url":null,"abstract":"We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies, over scales, or upon aggregation. To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"38 1","pages":"1175 - 1220"},"PeriodicalIF":0.8,"publicationDate":"2022-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45750124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-28DOI: 10.1017/s026646662200007x
D. Drukker, P. Egger, I. Prucha
This paper develops an estimation methodology for network data generated from a system of simultaneous equations, which allows for network interdependencies via spatial lags in the endogenous and exogenous variables, as well as in the disturbances. By allowing for higher-order spatial lags, our specification provides important flexibility in modeling network interactions. The estimation methodology builds, among others, on the two-step generalized method of moments estimation approach introduced in Kelejian and Prucha (1998, Journal of Real Estate Finance and Economics 17, 99–121; 1999, International Economic Review 40, 509–533; 2004, Journal of Econometrics 118, 27–50). The paper considers limited and full information estimators, and one- and two-step estimators, and establishes their asymptotic properties. In contrast to some of the earlier two-step estimation literature, our asymptotic results facilitate joint tests for the absence of all forms of network spillovers.
本文开发了一种由联立方程组生成的网络数据的估计方法，该方法允许通过内源性和外源性变量以及干扰中的空间滞后来实现网络相互依赖性。通过允许高阶空间滞后，我们的规范为网络交互建模提供了重要的灵活性。该估计方法建立在Kelejian和Prucha (1998, Journal of Real Estate Finance and Economics, 17, 99-121)提出的两步广义矩估计方法的基础上;1999，《国际经济评论》第40期，509-533;2004，《经济研究》第1期，第2 - 6页。本文考虑了有限信息估计量和完全信息估计量，以及一步估计量和两步估计量，并建立了它们的渐近性质。与一些早期的两步估计文献相反，我们的渐近结果有助于对所有形式的网络溢出的不存在进行联合检验。
{"title":"SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS","authors":"D. Drukker, P. Egger, I. Prucha","doi":"10.1017/s026646662200007x","DOIUrl":"https://doi.org/10.1017/s026646662200007x","url":null,"abstract":"This paper develops an estimation methodology for network data generated from a system of simultaneous equations, which allows for network interdependencies via spatial lags in the endogenous and exogenous variables, as well as in the disturbances. By allowing for higher-order spatial lags, our specification provides important flexibility in modeling network interactions. The estimation methodology builds, among others, on the two-step generalized method of moments estimation approach introduced in Kelejian and Prucha (1998, Journal of Real Estate Finance and Economics 17, 99–121; 1999, International Economic Review 40, 509–533; 2004, Journal of Econometrics 118, 27–50). The paper considers limited and full information estimators, and one- and two-step estimators, and establishes their asymptotic properties. In contrast to some of the earlier two-step estimation literature, our asymptotic results facilitate joint tests for the absence of all forms of network spillovers.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42824005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-26DOI: 10.1007/s00018-022-04231-3
Yuechao Dong, Florian Alonso, Tiya Jahjah, Isabelle Fremaux, Christophe F Grosset, Elisabeth Génot
Angiogenesis involves cell specification orchestrated by regulatory interactions between the vascular endothelial growth factor and Notch signaling pathways. However, the role of microRNAs in these regulations remains poorly explored. Here we show that a controlled level of miR-155 is essential for proper angiogenesis. In the mouse retina angiogenesis model, antimiR-155 altered neovascularization. In vitro assays established that endogenous miR-155 is involved in podosome formation, activation of the proteolytic machinery and cell migration but not in morphogenesis. The role of miR-155 was explored using miR-155 mimics. In vivo, exposing the developing vasculature to miR-155 promoted hypersprouting, thus phenocopying defects associated with Notch deficiency. Mechanistically, miR-155 overexpression weakened Notch signaling by reducing Smad1/5 expression, leading to the formation of tip cell-like cells which did not reach full invasive capacity and became unable to undergo morphogenesis. These results identify miR-155 as a novel regulator of physiological angiogenesis and as a novel actor of pathological angiogenesis.
{"title":"miR-155 regulates physiological angiogenesis but an miR-155-rich microenvironment disrupts the process by promoting unproductive endothelial sprouting.","authors":"Yuechao Dong, Florian Alonso, Tiya Jahjah, Isabelle Fremaux, Christophe F Grosset, Elisabeth Génot","doi":"10.1007/s00018-022-04231-3","DOIUrl":"10.1007/s00018-022-04231-3","url":null,"abstract":"<p><p>Angiogenesis involves cell specification orchestrated by regulatory interactions between the vascular endothelial growth factor and Notch signaling pathways. However, the role of microRNAs in these regulations remains poorly explored. Here we show that a controlled level of miR-155 is essential for proper angiogenesis. In the mouse retina angiogenesis model, antimiR-155 altered neovascularization. In vitro assays established that endogenous miR-155 is involved in podosome formation, activation of the proteolytic machinery and cell migration but not in morphogenesis. The role of miR-155 was explored using miR-155 mimics. In vivo, exposing the developing vasculature to miR-155 promoted hypersprouting, thus phenocopying defects associated with Notch deficiency. Mechanistically, miR-155 overexpression weakened Notch signaling by reducing Smad1/5 expression, leading to the formation of tip cell-like cells which did not reach full invasive capacity and became unable to undergo morphogenesis. These results identify miR-155 as a novel regulator of physiological angiogenesis and as a novel actor of pathological angiogenesis.</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"25 1","pages":"208"},"PeriodicalIF":8.0,"publicationDate":"2022-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC11072784/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78831874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-25DOI: 10.1017/S026646662200010X
Zhonghao Fu, Yongmiao Hong, Xia Wang
We estimate and test for multiple structural breaks in distribution via an empirical characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in distribution as well as an information criterion and a sequential testing procedure to determine the number of breaks. We further construct a class of derivative tests to gauge possible sources of structural breaks, which is asymptotically more powerful than the smoothed nonparametric tests for structural breaks. Simulation studies show that our method performs well in determining the appropriate number of breaks and estimating the unknown breaks. Furthermore, the proposed tests have reasonable size and excellent power in finite samples. In an application to exchange rate returns, our tests are able to detect structural breaks in distribution and locate the break dates. Our tests also indicate that the documented breaks appear to occur in variance and higher-order moments, but not so often in mean.
{"title":"ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH","authors":"Zhonghao Fu, Yongmiao Hong, Xia Wang","doi":"10.1017/S026646662200010X","DOIUrl":"https://doi.org/10.1017/S026646662200010X","url":null,"abstract":"We estimate and test for multiple structural breaks in distribution via an empirical characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in distribution as well as an information criterion and a sequential testing procedure to determine the number of breaks. We further construct a class of derivative tests to gauge possible sources of structural breaks, which is asymptotically more powerful than the smoothed nonparametric tests for structural breaks. Simulation studies show that our method performs well in determining the appropriate number of breaks and estimating the unknown breaks. Furthermore, the proposed tests have reasonable size and excellent power in finite samples. In an application to exchange rate returns, our tests are able to detect structural breaks in distribution and locate the break dates. Our tests also indicate that the documented breaks appear to occur in variance and higher-order moments, but not so often in mean.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"39 1","pages":"534 - 581"},"PeriodicalIF":0.8,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42125500","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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