arXiv subjects

Martin Weidner

Publications and source records attributed to Martin Weidner.

At least 37 records · Page 2Linked to original sources

arXiv2023

Approximate Functional Differencing

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme 2012), which works when the number of time periods T is fixed (and may be small), but this solution is not applicable to all panel data models of interest. Another solution, which applies to a larger class of models, is "large-T" bias correction (pioneered by Hahn and Kuersteiner 2002 and Hahn and Newey 2004), but this is only guaranteed to work well when T is sufficiently large. This paper provides a unified approach that connects those two seemingly disparate solutions to the IPP. In doing so, we provide an approximate version of functional differencing, that is, an approximate solution to the IPP that is applicable to a large class of panel data models even when T is relatively small.

econ.EM↗

arXiv2023

Simultaneity in Binary Outcome Models with an Application to Employment for Couples

Two of Peter Schmidt's many contributions to econometrics have been to introduce a simultaneous logit model for bivariate binary outcomes and to study estimation of dynamic linear fixed effects panel data models using short panels. In this paper, we study a dynamic panel data version of the bivariate model introduced in Schmidt and Strauss (1975) that allows for lagged dependent variables and fixed effects as in Ahn and Schmidt (1995). We combine a conditional likelihood approach with a method of moments approach to obtain an estimation strategy for the resulting model. We apply this estimation strategy to a simple model for the intra-household relationship in employment. Our main conclusion is that the within-household dependence in employment differs significantly by the ethnicity composition of the couple even after one allows for unobserved household specific heterogeneity.

econ.EM↗

arXiv2022

Linear Panel Regressions with Two-Way Unobserved Heterogeneity

We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific effects are assumed to enter with a known functional form (additive or multiplicative). In this paper, we allow for this functional form to be more general and unknown. We discuss two different estimation approaches that allow consistent estimation of the regression parameters in this setting as the number of individuals and the number of time periods grow to infinity. The first approach uses the interactive fixed effect estimator in Bai (2009), which is still applicable here, as long as the number of factors in the estimation grows asymptotically. The second approach first discretizes the two-way unobserved heterogeneity (similar to what Bonhomme, Lamadon and Manresa 2021 are doing for one-way heterogeneity) and then estimates a simple linear fixed effect model with additive two-way grouped fixed effects. For both estimation methods we obtain asymptotic convergence results, perform Monte Carlo simulations, and employ the estimators in an empirical application to UK house price data.

econ.EM↗

arXiv2021

Inference on a Distribution from Noisy Draws

We consider a situation where the distribution of a random variable is being estimated by the empirical distribution of noisy measurements of that variable. This is common practice in, for example, teacher value-added models and other fixed-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function is equally obtained. These calculations are new in the literature, where only results on smooth functionals such as the mean and variance have been derived. We provide both analytical and jackknife corrections that recenter the limit distribution and yield confidence intervals with correct coverage in large samples. Our approach can be connected to corrections for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the much-improved sampling behavior of the corrected estimators. An empirical illustration on heterogeneity in deviations from the law of one price is equally provided.

econ.EM↗

arXiv2021

Minimizing Sensitivity to Model Misspecification

We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model, based on one-step adjustments. In addition, we provide confidence intervals that contain the true parameter under local misspecification. As a tool to interpret the degree of misspecification, we map it to the local power of a specification test of the reference model. Our approach allows for systematic sensitivity analysis when the parameter of interest may be partially or irregularly identified. As illustrations, we study three applications: an empirical analysis of the impact of conditional cash transfers in Mexico where misspecification stems from the presence of stigma effects of the program, a cross-sectional binary choice model where the error distribution is misspecified, and a dynamic panel data binary choice model where the number of time periods is small and the distribution of individual effects is misspecified.

econ.EM↗

arXiv2021

Posterior Average Effects

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average is computed conditional on the sample, in the spirit of empirical Bayes and shrinkage methods. While the usefulness of shrinkage for prediction is well-understood, a justification of posterior conditioning to estimate population averages is currently lacking. We show that PAE have minimum worst-case specification error under various forms of misspecification of the parametric distribution of unobservables. In addition, we introduce a measure of informativeness of the posterior conditioning, which quantifies the worst-case specification error of PAE relative to parametric model-based estimators. As illustrations, we report PAE estimates of distributions of neighborhood effects in the US, and of permanent and transitory components in a model of income dynamics.

econ.EM↗

arXiv2021

Bias and Consistency in Three-way Gravity Models

We study the incidental parameter problem for the ``three-way'' Poisson {Pseudo-Maximum Likelihood} (``PPML'') estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite the number and variety of fixed effects involved, we confirm PPML is consistent for fixed $T$ and we show it is in fact the only estimator among a wide range of PML gravity estimators that is generally consistent in this context when $T$ is fixed. At the same time, asymptotic confidence intervals in fixed-$T$ panels are not correctly centered at the true point estimates, and cluster-robust variance estimates used to construct standard errors are generally biased as well. We characterize each of these biases analytically and show both numerically and empirically that they are salient even for real-data settings with a large number of countries. We also offer practical remedies that can be used to obtain more reliable inferences of the effects of trade policies and other time-varying gravity variables, which we make available via an accompanying Stata package called ppml_fe_bias.

econ.EM↗

arXiv2021

Low-Rank Approximations of Nonseparable Panel Models

We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor structures are estimated by matrix-completion methods to deal with the computational challenges of principal component analysis in the presence of missing data. We show that the resulting estimators are consistent in large panels, but suffer from approximation and shrinkage biases. We correct these biases using matching and difference-in-differences approaches. Numerical examples and an empirical application to the effect of election day registration on voter turnout in the U.S. illustrate the properties and usefulness of our methods.

econ.EM↗

arXiv2020

Network and Panel Quantile Effects Via Distribution Regression

This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection of simultaneous confidence bands for distribution functions constructed from fixed effects distribution regression estimators. These fixed effects estimators are debiased to deal with the incidental parameter problem. Under asymptotic sequences where both dimensions of the data set grow at the same rate, the confidence bands for the quantile functions and effects have correct joint coverage in large samples. An empirical application to gravity models of trade illustrates the applicability of the methods to network data.

econ.EM↗

arXiv2019

Nonlinear Factor Models for Network and Panel Data

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson specifications. We establish that fixed effect estimators of model parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might suffer of incidental parameter bias. We show how models with factor structures can also be applied to capture important features of network data such as reciprocity, degree heterogeneity, homophily in latent variables and clustering. We illustrate this applicability with an empirical example to the estimation of a gravity equation of international trade between countries using a Poisson model with multiple factors.

stat.ME↗

arXiv2019

Fixed-Effect Regressions on Network Data

This paper considers inference on fixed effects in a linear regression model estimated from network data. An important special case of our setup is the two-way regression model. This is a workhorse technique in the analysis of matched data sets, such as employer-employee or student-teacher panel data. We formalize how the structure of the network affects the accuracy with which the fixed effects can be estimated. This allows us to derive sufficient conditions on the network for consistent estimation and asymptotically-valid inference to be possible. Estimation of moments is also considered. We allow for general networks and our setup covers both the dense and sparse case. We provide numerical results for the estimation of teacher value-added models and regressions with occupational dummies.

stat.ME↗

arXiv2018

Individual and Time Effects in Nonlinear Panel Models with Large N, T

We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are important for many empirical applications in micro and macroeconomics. Our estimators use analytical and jackknife bias corrections to deal with the incidental parameter problem, and are asymptotically unbiased under asymptotic sequences where $N/T$ converges to a constant. We develop inference methods and show that they perform well in numerical examples.

stat.ME↗

arXiv2018

Fixed Effect Estimation of Large T Panel Data Models

This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on covariates and unobserved effects is specified parametrically, while the distribution of the unobserved effects is left unrestricted. Compared to existing reviews on long panels (Arellano and Hahn 2007; a section in Arellano and Bonhomme 2011) we discuss models with both individual and time effects, split-panel Jackknife bias corrections, unbalanced panels, distribution and quantile effects, and other extensions. Understanding and correcting the incidental parameter bias caused by the estimation of many fixed effects is our main focus, and the unifying theme is that the order of this bias is given by the simple formula p/n for all models discussed, with p the number of estimated parameters and n the total sample size.

econ.EM↗

arXiv2017

Bounds On Treatment Effects On Transitions

This paper considers the identification of treatment effects on conditional transition probabilities. We show that even under random assignment only the instantaneous average treatment effect is point identified. Since treated and control units drop out at different rates, randomization only ensures the comparability of treatment and controls at the time of randomization, so that long-run average treatment effects are not point identified. Instead we derive informative bounds on these average treatment effects. Our bounds do not impose (semi)parametric restrictions, for example, proportional hazards. We also explore various assumptions such as monotone treatment response, common shocks and positively correlated outcomes that tighten the bounds.

econ.EM↗

arXiv2017

Fast OLAP Query Execution in Main Memory on Large Data in a Cluster

Main memory column-stores have proven to be efficient for processing analytical queries. Still, there has been much less work in the context of clusters. Using only a single machine poses several restrictions: Processing power and data volume are bounded to the number of cores and main memory fitting on one tightly coupled system. To enable the processing of larger data sets, switching to a cluster becomes necessary. In this work, we explore techniques for efficient execution of analytical SQL queries on large amounts of data in a parallel database cluster while making maximal use of the available hardware. This includes precompiled query plans for efficient CPU utilization, full parallelization on single nodes and across the cluster, and efficient inter-node communication. We implement all features in a prototype for running a subset of TPC-H benchmark queries. We evaluate our implementation using a 128 node cluster running TPC-H queries with 30 000 gigabyte of uncompressed data.

cs.DB↗

arXiv2017

probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects

We present the Stata commands probitfe and logitfe, which estimate probit and logit panel data models with individual and/or time unobserved effects. Fixed effect panel data methods that estimate the unobserved effects can be severely biased because of the incidental parameter problem (Neyman and Scott, 1948). We tackle this problem by using the analytical and jackknife bias corrections derived in Fernandez-Val and Weidner (2016) for panels where the two dimensions ($N$ and $T$) are moderately large. We illustrate the commands with an empirical application to international trade and a Monte Carlo simulation calibrated to this application.

stat.ME↗

arXiv2008

Gauged N=4 supergravities

We present the gauged N=4 (half-maximal) supergravities in four and five spacetime dimensions coupled to an arbitrary number of vector multiplets. The gaugings are parameterized by a set of appropriately constrained constant tensors, which transform covariantly under the global symmetry groups SL(2) x SO(6,n) and SO(1,1) x SO(5,n), respectively. In terms of these tensors the universal Lagrangian and the Killing Spinor equations are given. The known gaugings, in particular those originating from flux compactifications, are incorporated in the formulation, but also new classes of gaugings are found. Finally, we present the embedding chain of the five dimensional into the four dimensional into the three dimensional gaugings, thereby showing how the deformation parameters organize under the respectively larger duality groups.

hep-th↗

arXiv2007

Gauging hidden symmetries in two dimensions

We initiate the systematic construction of gauged matter-coupled supergravity theories in two dimensions. Subgroups of the affine global symmetry group of toroidally compactified supergravity can be gauged by coupling vector fields with minimal couplings and a particular topological term. The gauge groups typically include hidden symmetries that are not among the target-space isometries of the ungauged theory. The possible gaugings are described group-theoretically in terms of a constant embedding tensor subject to a number of constraints which parametrizes the different theories and entirely encodes the gauged Lagrangian. The prime example is the bosonic sector of the maximally supersymmetric theory whose ungauged version admits an affine E_9 global symmetry algebra. The various parameters (related to higher-dimensional p-form fluxes, geometric and non-geometric fluxes, etc.) which characterize the possible gaugings, combine into an embedding tensor transforming in the basic representation of E_9. This yields an infinite-dimensional class of maximally supersymmetric theories in two dimensions. We work out and discuss several examples of higher-dimensional origin which can be systematically analyzed using the different gradings of E_9.

hep-th↗