A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates [0.03%]
具有高维协变量的异方差自稳健过度识别限制检验
Qingliang Fan,Zijian Guo,Ziwei Mei
Qingliang Fan
This paper proposes an overidentifying restriction test for high-dimensional linear instrumental variable models. The novelty of the proposed test is that it allows the number of covariates and instruments to be larger than the sample size....
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure [0.03%]
具有潜在群结构的面板数据分位数函数系数回归
Xiaorong Yang,Jia Chen,Degui Li et al.
Xiaorong Yang et al.
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on th...
Max-Sebastian Dovì,Anders Bredahl Kock,Sophocles Mavroeidis
Max-Sebastian Dovì
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments-possibly more than the number of observations. We show that a ridge-regularized version of the jackknifed ...
Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis [0.03%]
高维 compositional 数据的稳健协方差矩阵估计及其在销售数据分析中的应用
Danning Li,Arun Srinivasan,Qian Chen et al.
Danning Li et al.
Compositional data arises in a wide variety of research areas when some form of standardization and composition is necessary. Estimating covariance matrices is of fundamental importance for high-dimensional compositional data analysis. Howe...
Nonparametric prediction distribution from resolution-wise regression with heterogeneous data [0.03%]
基于异构数据的分辨率回归下的非参数预测分布
Jialu Li,Wan Zhang,Peiyao Wang et al.
Jialu Li et al.
Modeling and inference for heterogeneous data have gained great interest recently due to rapid developments in personalized marketing. Most existing regression approaches are based on the conditional mean and may require additional cluster ...
Male Earnings Volatility in LEHD before, during, and after the Great Recession [0.03%]
大衰退前中后LEHD男性收入波动分析
Kevin L McKinney,John M Abowd
Kevin L McKinney
This paper is part of a coordinated collection of papers on prime-age male earnings volatility. Each paper produces a similar set of statistics for the same reference population using a different primary data source. Our primary data source...
Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency [0.03%]
统一主成分分析在空间依赖下的稀疏和密集功能数据中的应用
Haozhe Zhang,Yehua Li
Haozhe Zhang
We consider spatially dependent functional data collected under a geostatistics setting, where locations are sampled from a spatial point process. The functional response is the sum of a spatially dependent functional effect and a spatially...
Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data [0.03%]
系数变化中介模型及在行为经济学数据分析中的应用
Yujie Liao,Jingyuan Liu,Donna L Coffman et al.
Yujie Liao et al.
This article is concerned with causal mediation analysis with varying indirect and direct effects. We propose a varying coefficient mediation model, which can also be viewed as an extension of moderation analysis on a causal diagram. We dev...
Raffaella Giacomini,Toru Kitagawa,Matthew Read
Raffaella Giacomini
We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing "narrative restrictions" (NR) on the shock signs in an otherwise set-identified...
Y I He,Liang Peng,Dabao Zhang et al.
Y I He et al.
We compute the value-at-risk of financial losses by fitting a generalized Pareto distribution to exceedances over a threshold. Following the common practice of setting the threshold as high sample quantiles, we show that, for both independe...