- 3136 Sproul Hall, Riverside, CA 92521, USA
Ruoyao Shi
University of California, Riverside, Economics, Faculty Member
Research Interests:
Research Interests:
Research Interests:
Research Interests:
The Gibbons, Ross, and Shanken (1989) F-test of mean-variance efficiency of asset returns is stated incorrectly for the multi-factor case. We first derive the correct formula for the test statistic for the general case of K factors and N... more
The Gibbons, Ross, and Shanken (1989) F-test of mean-variance efficiency of asset returns is stated incorrectly for the multi-factor case. We first derive the correct formula for the test statistic for the general case of K factors and N test assets, then highlight the impact of the error in common applications. The ranking of competing models can be scrambled if the original (incorrect) formula is used, and tests of factor models over-reject. While the impact is material only for horizons of less than 20 or so years of monthly data, given the theoretical interpretation of the (correctly) calculated GRS statistic, we recommend that researchers use the correct formula regardless of sample size.
Research Interests:
We argue that despite its nonclassical measurement errors, the hours worked in the Current Population Survey (CPS) can still be utilized to enhance the overall accuracy of the estimator of the labor supply parameters based on the American... more
We argue that despite its nonclassical measurement errors, the hours worked in the Current Population Survey (CPS) can still be utilized to enhance the overall accuracy of the estimator of the labor supply parameters based on the American Time Use Survey (ATUS), if done properly. We propose such an estimator that is a weighted average between the two stage least squares estimator based on the CPS and a non-standard estimator based on the ATUS.
Research Interests:
Author(s): Shi, Ruoyao | Advisor(s): Hahn, Jinyong; Liao, Zhipeng | Abstract: This dissertation studies econometric questions in the context of three different methods that are frequently used by empirical economists.Chapter 1 provides a... more
Author(s): Shi, Ruoyao | Advisor(s): Hahn, Jinyong; Liao, Zhipeng | Abstract: This dissertation studies econometric questions in the context of three different methods that are frequently used by empirical economists.Chapter 1 provides a short introduction to the contexts, questions, methods and results studied in Chapter 2 to Chapter 4.Chapter 2 studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Unlike most previously studied hedonic models, both the observed and unobserved agent heterogeneities enter the structural functions nonparametrically. Prices are endogenously determined in equilibrium. Using both within-market and cross-market price variation, I show that all the structural functions of the model are nonparametrically identified up to normalization. In particular, the unobserved product quality function is identified if the relative prices of the agent characteristics differ in at least two markets. Following the cons...
Research Interests:
This paper studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Unlike most previously studied hedonic models, both the observed and unobserved agent heterogeneities enter the... more
This paper studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Unlike most previously studied hedonic models, both the observed and unobserved agent heterogeneities enter the structural functions nonparametrically. Prices are endogenously determined in equilibrium. Using both within- and cross-market price variation, I show that all the structural functions of the model are nonparametrically identified up to normalization. In particular, the unobserved product quality function is identified if the relative prices of the agent characteristics differ in at least two markets. Following the constructive identification strategy, I provide easy- to-implement series minimum distance estimators of the structural functions and derive their consistency and uniform rates of convergence. To illustrate the estimation procedure, I estimate the unobserved efficiency of American full-time workers as a function of age and unobserved ability.
Research Interests:
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspeci
ed moment conditions, where the weight is... more
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspeci
ed moment conditions, where the weight is the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper and lower bounds of the
nite-sample risk di¤erence between two estimators, which is used to show that the averaging estimator uniformly dominates the conservative estimator by reducing the risk under any degree of misspeci
cation. Extending seminal results on the James-Stein estimator, the uniform dominance is established in non-Gaussian semiparametric nonlinear models. The simulation results support our theoretical
ndings. The proposed averaging estimator is applied to estimate the human capital production function in a life-cycle labor supply model. Keywords: Asymptotic Risk, Finite-Sample Risk, Generalized Shrinkage Estimator...
Research Interests:
Research Interests:
This paper studies semiparametric two-step estimators with a control variable estimated in a first-step parametric or nonparametric model. We provide the explicit influence function of the two-step estimator under an index restriction... more
This paper studies semiparametric two-step estimators with a control variable estimated in a first-step parametric or nonparametric model. We provide the explicit influence function of the two-step estimator under an index restriction which is imposed directly on the unknown control variable. The index restriction is weaker than the commonly used identification conditions in the literature, which are imposed on all exogenous variables. An extra term shows up in the influence function of the semiparametric two-step estimator under the weaker identification condition. We illustrate our influence function formula in a mean regression example, a quantile regression example, and a sample selection example where the control variable approach is applied for identification and consistent estimation of structural parameters. JEL Classification: C14, C31, C32
Research Interests:
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight... more
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper and lower bounds of the finite‐sample truncated risk difference between any two estimators, which is used to compare the averaging GMM estimator and the conservative GMM estimator. Under some sufficient conditions, we show that the asymptotic lower bound of the truncated risk difference between the averaging estimator and the conservative estimator is strictly less than zero, while the asymptotic upper bound is zero uniformly over any degree of misspecification. The results apply to quadratic loss functions. This uniform asymptotic dominance is established in non‐Gaussian semiparametric nonlinear models.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Welfare analysis of wage inequality requires constructing counterfactual wage distributions. I propose a method based on a fully nonparametric general equilibrium labor market model in which heterogenous workers and firms trade effective... more
Welfare analysis of wage inequality requires constructing counterfactual wage distributions. I propose a method based on a fully nonparametric general equilibrium labor market model in which heterogenous workers and firms trade effective labor. Effective labor depends on two factors, observable hours and unobservable efficiency. Contrary to previous partial equilibrium approaches, counterfactual interventions in my model affect the behaviors of both workers and firms, and hence the market equilibrium. I show nonparametric identification of the structural functions of the model, in particular the unobservable efficiency function. The identified structural functions are used to generate counterfactual wage samples through a simulation method I prescribe. As a preliminary step towards analyzing identification and estimation of counterfactual wages, I introduce the operators that map the structural functions to parameters of interests. My model works under a wide range of counterfactual...
Nonclassical measurement errors in conventional microeconomic surveys result in biased estimates of weekly labor supply parameters. The American Time Use Survey (ATUS) accurately measures hours worked on a single day. We show that... more
Nonclassical measurement errors in conventional microeconomic surveys result in biased estimates of weekly labor supply parameters. The American Time Use Survey (ATUS) accurately measures hours worked on a single day. We show that despite the impossibility to recover weekly hours, weekly labor supply parameters can be consistently and efficiently estimated using the ATUS. We propose impute estimator and carefully examine its properties. It is a simple modification of the 2SLS estimator, which imputes both dependent and independent variables using daily subsamples. We apply it to the ATUS and find substantially different elasticity estimates from the CPS, especially for married women.
Research Interests:
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight... more
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper and lower bounds of the finite‐sample truncated risk difference between any two estimators, which is used to compare the averaging GMM estimator and the conservative GMM estimator. Under some sufficient conditions, we show that the asymptotic lower bound of the truncated risk difference between the averaging estimator and the conservative estimator is strictly less than zero, while the asymptotic upper bound is zero uniformly over any degree of misspecification. The results apply to quadratic loss functions. This uniform asymptotic dominance is established in non‐Gaussian semiparametric nonlinear models.
Research Interests:
We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the... more
We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the permutation tests from a repeated sampling perspective and show that the size of permutation tests may be distorted. Several alternative methods are discussed.
This paper studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Unlike most previously studied hedonic models, both the observed and unobserved agent heterogeneities enter the... more
This paper studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Unlike most previously studied hedonic models, both the observed and unobserved agent heterogeneities enter the structural functions nonparametrically. Prices are endogenously determined in equilibrium. Using both within- and cross-market price variation, I show that all the structural functions of the model are nonparametrically identified up to normalization. In particular, the unobserved product quality function is identified if the relative prices of the agent characteristics differ in at least two markets. Following the constructive identification strategy, I provide easy-to-implement series minimum distance estimators of the structural functions and derive their uniform rates of convergence. To illustrate the estimation procedure, I estimate the unobserved efficiency of American full-time workers as a function of age and unobserved ability.