Econometric Theory最新文献

英文中文

SHARP TEST FOR EQUILIBRIUM UNIQUENESS IN DISCRETE GAMES WITH PRIVATE INFORMATION AND COMMON KNOWLEDGE UNOBSERVED HETEROGENEITY 具有私有信息和公共知识未观测异质性的离散博弈均衡唯一性的尖锐检验

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-03-16 DOI: 10.1017/s0266466623000063

Mathieu Marcoux

This paper proposes a test of the single equilibrium in the data assumption commonly maintained when estimating static discrete games of incomplete information. By allowing for discrete common knowledge payoff-relevant unobserved heterogeneity, the test generalizes existing methods attributing all correlation between players’ decisions to multiple equilibria. It does not require the estimation of payoffs and is therefore useful in empirical applications leveraging multiple equilibria to identify the model’s primitives. The procedure boils down to testing the emptiness of the set of data generating processes that can rationalize the sample through a single equilibrium and a finite mixture over unobserved heterogeneity. Under verifiable conditions, this testable implication is generically sufficient for degenerate equilibrium selection. The main identifying assumption is the existence of an observable variable that plays the role of a proxy for the unobservable heterogeneity. Examples of such proxies are provided based on empirical applications from the existing literature.

本文提出了在估计不完全信息的静态离散对策时通常保持的数据假设中的单一均衡的检验。通过考虑离散的公共知识回报相关的未观察到的异质性，该测试推广了将参与者决策之间的所有相关性归因于多重均衡的现有方法。它不需要估计收益，因此在利用多重平衡来识别模型基元的实证应用中很有用。该过程可以归结为测试一组数据生成过程的空性，这些过程可以通过单一平衡和有限混合在未观察到的异质性上使样本合理化。在可检验的条件下，这个可检验的蕴涵对于退化平衡选择是一般充分的。主要的识别假设是存在一个可观察变量，该变量扮演着不可观察异质性的代理角色。基于现有文献的经验应用，提供了此类代理的示例。

引用次数: 1

NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY 内生性阈值回归中的新控制函数方法

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-03-16 DOI: 10.1017/s0266466623000014

P. Yu, Qin Liao, P. Phillips

This paper studies control function (CF) approaches in endogenous threshold regression where the threshold variable is allowed to be endogenous. We first use a simple example to show that the structural threshold regression (STR) estimator of the threshold point in Kourtellos, Stengos and Tan (2016, Econometric Theory 32, 827–860) is inconsistent unless the endogeneity level of the threshold variable is low compared to the threshold effect. We correct the CF in the STR estimator to generate our first CF estimator using a method that extends the two-stage least squares procedure in Caner and Hansen (2004, Econometric Theory 20, 813–843). We develop our second CF estimator which can be treated as an extension of the classical CF approach in endogenous linear regression. Both these approaches embody threshold effect information in the conditional variance beyond that in the conditional mean. Given the threshold point estimates, we propose new estimates for the slope parameters. The first is a by-product of the CF approach, and the second type employs generalized method of moment (GMM) procedures based on two new sets of moment conditions. Simulation studies, in conjunction with the limit theory, show that our second CF estimator and confidence interval for the threshold point together with the associated second GMM estimator and confidence interval for the slope parameter dominate the other methods. We further apply the new estimation methodology to an empirical application from international trade to illustrate its usefulness in practice.

本文研究了允许阈值变量为内生的内生阈值回归中的控制函数方法。我们首先使用一个简单的例子来表明，除非阈值变量的内生性水平与阈值效应相比较低，否则Kourtelos、Stengos和Tan（2016，计量经济学理论32827-860）中阈值点的结构阈值回归（STR）估计量是不一致的。我们使用Caner和Hansen（2004，Ecometric Theory 20813-843）中扩展两阶段最小二乘法的方法来校正STR估计器中的CF，以生成我们的第一个CF估计器。我们开发了我们的第二个CF估计器，它可以被视为内生线性回归中经典CF方法的扩展。这两种方法都在条件方差中体现了阈值效应信息，而不是在条件均值中。给定阈值点估计，我们提出了斜率参数的新估计。第一种是CF方法的副产品，第二种是基于两组新的矩条件的广义矩方法。结合极限理论的仿真研究表明，我们的第二个CF估计器和阈值点的置信区间以及相关的第二GMM估计器与斜率参数的置信区间在其他方法中占主导地位。我们进一步将新的估计方法应用于国际贸易的实证应用，以说明其在实践中的有用性。

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引用次数: 5

CONSISTENT NON-GAUSSIAN PSEUDO MAXIMUM LIKELIHOOD ESTIMATORS OF SPATIAL AUTOREGRESSIVE MODELS 空间自回归模型的一致非高斯伪极大似然估计

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-02-06 DOI: 10.1017/s0266466623000026

Fei Jin, Yuqin Wang

This paper studies the non-Gaussian pseudo maximum likelihood (PML) estimation of a spatial autoregressive (SAR) model with SAR disturbances. If the spatial weights matrix $M_{n}$ for the SAR disturbances is normalized to have row sums equal to 1 or the model reduces to a SAR model with no SAR process of disturbances, the non-Gaussian PML estimator (NGPMLE) for model parameters except the intercept term and the variance $sigma _{0}^{2}$ of independent and identically distributed (i.i.d.) innovations in the model is consistent. Without row normalization of $M_{n}$ , the symmetry of i.i.d. innovations leads to consistent NGPMLE for model parameters except $sigma _{0}^{2}$ . With neither row normalization of $M_{n}$ nor the symmetry of innovations, a location parameter can be added to the non-Gaussian pseudo likelihood function to achieve consistent estimation of model parameters except $sigma _{0}^{2}$ . The NGPMLE with no added parameter can have a significant efficiency improvement upon the Gaussian PML estimator and the generalized method of moments estimator based on linear and quadratic moments. We also propose a non-Gaussian score test for spatial dependence, which can be locally more powerful than the Gaussian score test. Monte Carlo results show that our NGPMLE with no added parameter and the score test based on it perform well in finite samples.

本文研究了具有SAR扰动的空间自回归（SAR）模型的非高斯伪最大似然（PML）估计。如果SAR扰动的空间权重矩阵$M_{n}$被归一化为具有等于1的行和，除了模型中独立和同分布（i.i.d.）创新的截距项和方差$sigma{0}^{2}$之外，模型参数的非高斯PML估计器（NGPMLE）是一致的。在没有$M_｛n｝$的行规范化的情况下，i.i.d.创新的对称性导致除了$sigma{0｝^｛2｝$之外的模型参数的一致NGPMLE。在既没有$M_{n}$的行归一化也没有创新的对称性的情况下，可以将位置参数添加到非高斯伪似然函数中，以实现除$sigma{0}^{2}$之外的模型参数的一致估计。与高斯PML估计和基于线性矩和二次矩的广义矩估计方法相比，不添加参数的NGPMLE可以显著提高效率。我们还提出了一种空间相关性的非高斯分数测试，它可以比高斯分数测试在局部更强大。蒙特卡罗结果表明，我们的无添加参数的NGPMLE和基于它的分数测试在有限样本中表现良好。

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引用次数: 0

An Accelerated Pipeline for Multi-label Renal Pathology Image Segmentation at the Whole Slide Image Level. 全切片图像级多标签肾脏病理图像分割的加速管道。

IF 2.7 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-02-01 Epub Date: 2023-04-06 DOI: 10.1117/12.2653651

Haoju Leng, Ruining Deng, Zuhayr Asad, R Michael Womick, Haichun Yang, Lipeng Wan, Yuankai Huo

Deep-learning techniques have been used widely to alleviate the labour-intensive and time-consuming manual annotation required for pixel-level tissue characterization. Our previous study introduced an efficient single dynamic network - Omni-Seg - that achieved multi-class multi-scale pathological segmentation with less computational complexity. However, the patch-wise segmentation paradigm still applies to Omni-Seg, and the pipeline is time-consuming when providing segmentation for Whole Slide Images (WSIs). In this paper, we propose an enhanced version of the Omni-Seg pipeline in order to reduce the repetitive computing processes and utilize a GPU to accelerate the model's prediction for both better model performance and faster speed. Our proposed method's innovative contribution is two-fold: (1) a Docker is released for an end-to-end slide-wise multi-tissue segmentation for WSIs; and (2) the pipeline is deployed on a GPU to accelerate the prediction, achieving better segmentation quality in less time. The proposed accelerated implementation reduced the average processing time (at the testing stage) on a standard needle biopsy WSI from 2.3 hours to 22 minutes, using 35 WSIs from the Kidney Tissue Atlas (KPMP) Datasets. The source code and the Docker have been made publicly available at https://github.com/ddrrnn123/Omni-Seg.

深度学习技术已被广泛用于减轻像素级组织特征描述所需的劳动密集型和耗时的人工标注。我们之前的研究引入了一种高效的单一动态网络--Omni-Seg，它能以较低的计算复杂度实现多类多尺度病理分割。然而，Omni-Seg 仍采用片段式分割范式，在为整张切片图像（WSI）提供分割时，该管道非常耗时。在本文中，我们提出了 Omni-Seg 管道的增强版，以减少重复计算过程，并利用 GPU 加速模型预测，从而获得更好的模型性能和更快的速度。我们提出的方法有两方面的创新贡献：（1）为 WSI 的端到端滑动式多组织分割发布了一个 Docker；（2）在 GPU 上部署管道以加速预测，从而在更短的时间内获得更好的分割质量。利用肾组织图集（KPMP）数据集中的 35 个 WSI，拟议的加速实现将标准针刺活检 WSI 的平均处理时间（测试阶段）从 2.3 小时缩短到 22 分钟。源代码和 Docker 已在 https://github.com/ddrrnn123/Omni-Seg 上公开发布。

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引用次数: 0

ECT volume 39 issue 1 Cover and Front matter ECT第39卷第1期封面和封面问题

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-02-01 DOI: 10.1017/s0266466623000038

引用次数: 0

ECT volume 39 issue 1 Cover and Back matter ECT第39卷第1期封面和封底

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2023-02-01 DOI: 10.1017/s026646662300004x

引用次数: 0

NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER 任意阶自回归模型中单位根的近有效似然比检验

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2022-12-20 DOI: 10.1017/s0266466622000652

Samuel Brien, Michael Jansson, M. Nielsen

We study large sample properties of likelihood ratio tests of the unit-root hypothesis in an autoregressive model of arbitrary order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order 1, but resorted to a plug-in approach when dealing with higher-order models. In contrast, we consider the full model and derive the relevant large sample properties of likelihood ratio tests under a local-to-unity asymptotic framework. As in the simpler model, we show that the full likelihood ratio tests are nearly efficient, in the sense that their asymptotic local power functions are virtually indistinguishable from the Gaussian power envelopes. Extensions to sieve-type approximations and different classes of alternatives are also considered.

我们研究了任意阶自回归模型中单位根假设的似然比检验的大样本性质。早期对这个测试问题的研究已经在1阶自回归模型中开发了似然比测试，但在处理高阶模型时采用了插入式方法。相反，我们考虑了完整模型，并在局部到单位渐近框架下推导了似然比检验的相关大样本性质。与更简单的模型一样，我们证明了全似然比检验几乎是有效的，因为它们的渐近局部幂函数与高斯幂包络几乎无法区分。还考虑了筛型近似的扩展和不同类别的替代方案。

引用次数: 0

TESTING A CLASS OF SEMI- OR NONPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS USING SERIES METHODS 用级数法检验一类半参数或非参数条件矩约束模型

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2022-12-05 DOI: 10.1017/s0266466622000615

Jesper Riis-Vestergaard Sørensen

This paper proposes a new test for a class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted conditional expectation functions. Motivating examples of such CMRs arise from models of discrete choice under uncertainty including certain static games of incomplete information. The proposed test may be viewed as a semi-/nonparametric extension of the Bierens (1982, Journal of Econometrics 20, 105–134) goodness-of-fit test of a parametric model for the conditional mean. Estimating conditional expectations using series methods and employing a Gaussian multiplier bootstrap to obtain critical values, the test is shown to be asymptotically correctly sized and consistent. Simulation studies indicate good finite-sample properties. In an empirical application, the test is used to study the validity of a game-theoretical model for discount store market entry, treating equilibrium beliefs as nonparametric conditional expectations. The test indicates that Walmart and Kmart entry decisions do not result from a static discrete game of incomplete information with linearly specified profits.

针对一类参数化涉及未知的、不受限制的条件期望函数的条件矩约束，提出了一种新的检验方法。此类cmr的激励例子来自不确定性下的离散选择模型，包括某些不完全信息的静态博弈。所提出的检验可以看作是Bierens (1982, Journal of Econometrics, 20,105 - 134)对条件均值参数模型的拟合优度检验的半/非参数推广。使用序列方法估计条件期望并采用高斯乘法器自举来获得临界值，测试显示出渐近正确的大小和一致性。仿真研究表明具有良好的有限样本性能。在实证应用中，该检验用于研究折扣商店市场进入的博弈论模型的有效性，将均衡信念视为非参数条件期望。检验表明，沃尔玛和凯马特的进入决策不是由具有线性指定利润的不完全信息的静态离散博弈产生的。

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引用次数: 0

LARGE SAMPLE JUSTIFICATIONS FOR THE BAYESIAN EMPIRICAL LIKELIHOOD 贝叶斯经验似然的大样本证明

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2022-12-05 DOI: 10.1017/s0266466622000603

Naoya Sueishi

This study investigates the asymptotic properties of the Bayesian empirical likelihood (BEL), which uses the empirical likelihood as an alternative to a parametric likelihood for Bayesian inference. We establish two asymptotic equivalence results based on the Bernstein–von Mises (BvM) theorem by introducing a new formulation of the moment restriction model. First, the limiting posterior distribution of the BEL is the same as that of a parametric Bayesian method that uses the likelihood of a least favorable model of the moment restriction model. Second, the limiting posterior distribution is also the same as that of a semiparametric Bayesian method that places priors on both a finite-dimensional parameter of interest and an infinite-dimensional nuisance parameter. Because parametric and semiparametric Bayesian methods are legitimate Bayesian procedures, the equivalence results provide a large sample justification for the BEL as a Bayesian inference method. Moreover, the BvM theorem provides a frequentist justification for BEL posterior inference.

本研究探讨贝叶斯经验似然(BEL)的渐近性质，它使用经验似然作为贝叶斯推理的参数似然的替代。通过引入矩约束模型的新公式，建立了基于Bernstein-von Mises (BvM)定理的两个渐近等价结果。首先，BEL的极限后验分布与使用力矩限制模型的最不利模型的似然的参数贝叶斯方法相同。其次，限制后验分布也与半参数贝叶斯方法相同，该方法将先验放在有限维感兴趣的参数和无限维讨厌的参数上。由于参数贝叶斯方法和半参数贝叶斯方法是合法的贝叶斯过程，等效性结果为BEL作为贝叶斯推理方法提供了大样本证明。此外，BvM定理为BEL后验推理提供了一个频率证明。

引用次数: 0

ECT volume 38 issue 6 Cover and Front matter ECT第38卷第6期封面和封面问题

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Theory

Pub Date : 2022-12-01 DOI: 10.1017/s0266466622000664

引用次数: 0

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Econometric Theory

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