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关键词： Specification test   Nonseparability   Unobserved heterogeneous treatment effects   State price density   Implied volatility   Nonparametric regression   Trend filtering   LASSO   Thesis  

摘要： This dissertation includes two essays: The first one is on nonparametric inference in causal effect models, and the second one is on nonparametric estimation in financial economics. In the first essay, we propose a nonparametric test for unobserved heterogeneous treatment effects in a general framework, allowing for self-selection to the treatment. The proposed modified Kolmogorov-Smirnov-type test is consistent and simple to implement. Monte Carlo simulations show that our test performs well in finite samples. For illustration, we apply our test to study heterogeneous treatment effects of the Job Training Partnership Act on earnings and the impacts of fertility on family income. In the second essay, we provide an alternative to the existing estimations of implied volatility in option pricing. The use of state price densities to gather information about market sentiment and other empirical characteristics that describe important phenomena is popular in literature and in practice. The estimation of the implied volatility surface to extract these densities is a crucial intermediate step in the process, and the methods to do so are varied in literature. This essay proposes an estimation procedure that is relative new in nonparametric literature: l 1 trend filtering. We show its advantages over typically used nonparametric and parametric methods, commonly used in literature and in practice, to deal with this particular estimation problem. Additionally, the method maintains smaller prediction errors than the comparison models across different number of observations and levels of noise.

ISBN: (纸本)9787300239491

关键词： 计量经济学   实践教学   教学改革  

摘要： 通过对计量经济学教学过程中的学生学习现状进行抽样调查。分析课程教学过程中,教与学之间存在的问题。最后,遵循新建本科高校应用型培养导向,探讨提高计量经济学课堂教学效果,提升学生计量方法实践运用能力的对策建议。

摘要： This dissertation studies questions related to identification, estimation, and specification testing of nonparametric and high-dimensional econometric models. The thesis is composed by two chapters. In Chapter 1, I propose specification tests for two formally distinct but related classes of econometric models: (1) semiparametric conditional moment restriction models dependent on conditional expectation functions, and (2) a class of high-dimensional unconditional moment restriction models dependent on high-dimensional best linear predictors. These classes may be motivated by economic models in which agents make choices under uncertainty and therefore have to predict payoff-relevant variables such as the behavior of other agents. The proposed tests are shown to be both asymptotically correctly sized and consistent. Moreover, I establish a bound on the rate of local alternatives for which the test for high-dimensional unconditional moment restriction models is consistent. These results allow researchers to test the specification of their models without introducing additional parametric, typically ad hoc, assumptions on expectations. In Chapter 2, I show that it is possible to identify and estimate a generalized panel regression model (GPRM) without imposing any parametric structure on (1) the function of observable explanatory variables, (2) the systematic function through which the function of observable explanatory variables, fixed effect, and disturbance term generate the outcome variable, or (3) the distribution of unobservables. I proceed with estimation using a series maximum rank correlation estimator (SMRCE) of the function of observable explanatory variables and provide conditions under which L2–consistency is achieved. I also provide conditions under which both L 2 and uniform convergence rates of the SMRCE may be derived.

关键词： 计量经济学   数据可视化   教学  

摘要： 本文借助软件工具和数据可视化的直观性,以异方差部分为例,将难点以可视化的图像进行说明,将抽象的数据变为形象的图形,力图有效克服计量经济学概念难以说明的教学困难。

摘要： In this dissertation, I address issues related to both statistical and causal inference in time series in three independent chapters. In the first chapter, coauthored with E. Lazarus and J. H. Stock, we use higher-order expansions to derive a theoretical frontier for the size-power tradeoff for a class of heteroskedasticity and autocorrelation robust (HAR) estimators. Our results characterize the relative benefits of different estimators. We establish that tests using standard $t$ or $F$ critical values exhibit small worst-case losses compared to the optimal approach. We highlight the extent to which methods popular in the applied literature fall short of this envelope. The second chapter demonstrates that heteroskedasticity can identify structural shocks in macroeconomic models without structural assumptions of the type required in existing identification arguments. My approach relies on a new decomposition of the autocovariance of the variance of reduced form residuals, which has a unique solution under generic regularity conditions. This allows for the identification of SVAR-type models based solely on the presence of time-varying volatility in the structural shocks. In the third chapter, I show that models identified by exploiting multiple variance regimes, most commonly SVARs, can face a weak identification problem when the structural variances evolve in a linearly dependent manner. I propose tests for the presence of weak identification. I exploit specific features of the regime-based identification argument to prove the validity of more powerful weak identification-robust tests for parameters of interest in this familiar macroeconomic setting and extend the result to impulse response functions.

关键词： 网络教学环境   计量经济学   教学效果提升  

摘要： 随着信息技术的快速发展,网络教学环境日益普及,计量经济学的教学方式也发生了较大变化,给师生带来挑战。本文在分析计量经济学的课程性质、教学现状、网络教学环境下产生的新变化及问题的基础上,从合理安排课时、组成学习互助小组、提高案例的质与量、优化考核方式、鼓励参与教师的科研团队等方面提出了教学效果提升对策。

关键词： 社会经济政策   政策评估   计量经济学  

摘要： 科学施政的前提是正确评估政策。近年来,计量经济学方法被广泛应用于公共政策效果评估,但时常被误用,这会得出错误的政策评估结论,进而误导政策制定者。为了避免这一问题,研究者需要准确把握各类公共政策评估方法的适用前提和技术要点。赛鲁利(Cerulli,2015)的《社会经济政策的计量经济学评估:理论与应用》一书系统介绍了公共政策效果评估的各种计量经济学方法的适用前提和范围,可为研究者提供相关知识补充和应用参考。本文基于这一著作,对常见的公共政策评估方法进行了对比和归纳,期望对相关政策评估研究有所裨益。

关键词： Microeconometrics   Social Network   Peer Effect   Homophily Effect   Bayesian Nash Equilibrium   Measurement Error   Binary Response Model   Smoothed Maximum Score Estimation   Bandwidth Selection   Thesis  

摘要： This dissertation includes three chapters on microeconometrics with applications to social network. In the first chapter, we study identification and estimation of peer effects in a game theoretical social interaction model with incomplete information. We show that players’ equilibrium choice probabilities and peer effects can be identified in the presence of measurement errors in network connections by exploiting the nonparametric methodology developed for nonclassical measurement error models. Based on the identification methodology, a semiparametric estimation method is established and applied to study the peer effects on youth alcohol drinking behaviors using data of adolescents in the United States, our empirical findings show that peer effects will be significantly underestimated if measurement errors are ignored. In the second chapter, we study strategic social interaction among economic agents that are connected through the phenomena of homophily. In particular, we measure homophily effects by the differences between players’ socioeconomic characteristics. Under the symmetric equilibrium selection mechanism, we establish a nonparametric approach to identify the structural model and propose a computationally feasible two-step estimation procedure. The asymptotic properties of the two-step estimator are derived under context of “large games”, i.e., the number of players going to infinity. Finally, we apply the identification and estimation methods to study the peer effects on youth smoking behaviors using data of adolescents in the United States, our empirical findings show positive and statistically significant peer effects and demonstrate the empirical importance of including homophily effect in our model. In the third chapter, we study bandwidth selection method for the smoothed maximum score estimator. The smoothed maximum score estimator is a semiparametric estimator for binary response model, which is very useful for many economics and statistics applica

摘要： The objective of Chapter 1 is to explain the dynamic relationship between the housing market and the markets for primary building materials in the U.S. by allowing a single structural break that may have risen in response to macroeconomic shocks, specifically the housing market crisis started in 2007. In particular, using a vector error correction model (VECM), Granger–causality test, and impulse response analysis, the dynamics of housing prices and prices of concrete, lumber, plywood, and oriented strand board are investigated in two macroeconomic conditions of the economy: during the presence of structural break as well as before and after it. The data used in the analyses cover monthly time–series observations over the period of 1995-2015. Using the Qu and Perron (2007) methodology in a VECM with certain parameter restrictions shows that there is a strong single structural break in September 2007, which is a close estimation for the start of the Great Recession in December 2007. Thus, the data are split into two segments. The time–series analyses across segments suggest that most of the bidirectional Granger–causalities and dynamic linkages between housing prices and the prices of building materials have weakened or even disappeared after the housing market crisis. Chapter 2 seeks to reveal how the cultural background of societies such as religion affects natural environment while accounting for the possible spatial dependencies between observation characteristics. More specifically, using spatial econometric models and an extensive county–level U.S. data in 2010., this study investigates the impact of religion on the environmental performance of a county after controlling for the other important determinants. The environmental performance is measured using seven criteria air pollutants: CO, NH3, NOx, SO2, PM10, PM 2.5, and VOC. For each air pollutant, the analyses are conducted separately using various spatial models to account for the global and local spillover