簡易檢索 / 詳目顯示

研究生: 周宗翰
Chou, Tsung-Han
論文名稱: 使用無效工具進行工具變數回歸時的雙重機器學習方法:封城是否有效?
A Double Machine Learning Approach for Instrumental Variables Regression with Invalid Instruments: Did Lockdowns Work?
指導教授: 楊睿中
Yang, Jui-Chung
口試委員: 李宜
Lee, Yi
區俊傑
Ao, Chon-Kit
學位類別: 碩士
Master
系所名稱: 科技管理學院 - 經濟學系
Department of Economics
論文出版年: 2021
畢業學年度: 109
語文別: 英文
論文頁數: 35
中文關鍵詞: COVID-19雙重機器學習方法無效工具變數Lasso
外文關鍵詞: Invalid instruments
相關次數: 點閱:3下載:0
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報
  • 透過考慮封城的內生性,本研究了封城對COVID-19在中國傳播的影響。我們發現封城顯著降低了中國城市每日新增確診病例的增長率。更重要的是,如此顯著的影響考慮到了無效工具的控制。現有關於COVID-19傳播的文獻研究使用兩週之前的天氣變量作為工具變數。但是,無症狀感染者可能會導致以天氣做為工具變數無效。我們利用Chernozhukov等人(2018)提出的雙重機器學習方法(Double machine learning)來進行估計。具體來說,本文將Kolesár(2015)等人提出的條件改寫為Neyman 正交條件,透過 Lasso 和 post-Lasso 估計干擾參數,並通過交叉驗證的兩階段最小平方法估計關注的參數。結果發現,封城使每日新增確診病例的成長率顯著降低了14%,而如果不考慮內生性,效果會被低估,約6%。


    By taking into account the endogeneity of lockdowns, we examine the effect
    of lockdowns on the spread of COVID-19 in China. We find that lockdowns
    significantly reduce the rate of the increase in daily new confirmed cases of China
    cities. More importantly, such a significant effect takes into account the control
    of invalid instruments. The existing literature study of the spread of COVID-19
    used weather variables earlier than two weeks as instruments. However, countless
    asymptomatic COVID-19 infections could lead to weather instruments being
    invalid. These instruments are not only correlated with the lockdowns, but also
    have a direct impact on the spread of the COVID-19. We use the double machine
    learning approach of Chernozhukov et al. (2018) to achieve exact estimation.
    Specifically, we rewrite the condition proposed by Koles´ar et al. (2015) to a
    Neyman-orthogonal moment, estimate the nuisance parameters by post-Lasso
    and Lasso, and identify the parameter of interest by 2SLS with cross-fitting. The
    results show that lockdowns significantly reduced the spreading rate in daily new
    confirmed cases at least by 12%, while if we do not take into account the
    endogeneity, it will underestimate the effect as 6%.

    Contents 1 Introduction 1 2 Model 3 3 Simulation 6 4 Data 10 4.1 Data sources . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 4.2 Main variables and summary statistics . . . . . . . . . . . . . . . . 12 5 Lockdown Policy 15 5.1 Empirical model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 5.2 Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 5.3 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 6 Conclusion 19 References 21 Tables 24 Figures 29 Appendix 31

    References
    Belloni, A., D. Chen, V. Chernozhukov, and C. Hansen (2012). “Sparse Models and
    Methods for Optimal Instruments With an Application to Eminent Domain”.
    Econometrica 80(6), pp. 2369–2429.
    Belloni, A., V. Chernozhukov, and C. Hansen (2013). “Inference on Treatment
    Effects after Selection among High-Dimensional Controls†”. The Review of
    Economic Studies 81(2), pp. 608–650.
    Chernozhukov, V., D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, W. Newey,
    and J. Robins (2018). “Double/debiased machine learning for treatment and
    structural parameters”. The Econometrics Journal 21(1), pp. C1–C68.
    Chinazzi, M., J. T. Davis, M. Ajelli, C. Gioannini, M. Litvinova, S. Merler, A.
    Pastore y Piontti, K. Mu, L. Rossi, K. Sun, C. Viboud, X. Xiong, H. Yu,
    M. E. Halloran, I. M. Longini, and A. Vespignani (2020). “The effect of travel
    restrictions on the spread of the 2019 novel coronavirus (COVID-19) outbreak”.
    Science 368(6489), pp. 395–400.
    Dong, E., H. Du, and L. Gardner (2020). “An interactive web-based dashboard
    to track COVID-19 in real time”. The Lancet Infectious Diseases 20(5),
    pp. 533–534.
    Fang, H., L. Wang, and Y. Yang (2020). Human Mobility Restrictions and the
    Spread of the Novel Coronavirus (2019-nCoV) in China. Working Paper 26906.
    National Bureau of Economic Research.
    Guo, Z., H. Kang, T. Tony Cai, and D. S. Small (2018). “Confidence intervals for
    causal effects with invalid instruments by using two-stage hard thresholding
    with voting”. Journal of the Royal Statistical Society: Series B (Statistical
    Methodology) 80(4), pp. 793–815.
    Hu, Tao, Weihe Wendy Guan, and Shuming Bao (2020). “Building an Open
    Resources Repository for COVID-19 Research”. Data and Information
    Management 3(4).
    21
    Kang, H., A. Zhang, T. Tony Cai, and D. S. Small (2016). “Instrumental
    Variables Estimation With Some Invalid Instruments and its Application to
    Mendelian Randomization”. Journal of the American Statistical Association
    111(513), pp. 132–144.
    Katan, MartijnB. (1986). “Apolipoprotein E Isoforms, Serum Cholesterol, and
    Cancer”. The Lancet 327(8479), pp. 507–508.
    Koles´ar, M., R. Chetty, J. Friedman, E. Glaeser, and G. W. Imbens (2015).
    “Identification and Inference With Many Invalid Instruments”. Journal of
    Business & Economic Statistics 33(4), pp. 474–484.
    Lau, H., V. Khosrawipour, P. Kocbach, A. Mikolajczyk, J. Schubert, J. Bania,
    and T. Khosrawipour (2020). “The positive impact of lockdown in Wuhan
    on containing the COVID-19 outbreak in China”. Journal of Travel Medicine
    27(3). taaa037.
    Lauer, S. A., K. H. Grantz, Q. Bi, F. K. Jones, Q. Zheng, H. R. Meredith,
    A. S. Azman, N. G. Reich, and J. Lessler (2020). “The Incubation Period of
    Coronavirus Disease 2019 (COVID-19) From Publicly Reported Confirmed
    Cases: Estimation and Application.” Annals of internal medicine 172 (9),
    pp. 577–582.
    Long, Q., X. Tang, Q. Shi, Q. Li, H. Deng, J. Yuan, J. Hu, W. Xu, Y. Zhang, F. Lv,
    K. Su, F. Zhang, J. Gong, B. Wu, X. Liu, J. Li, J. Qiu, J. Chen, and A. Huang
    (2020). “Clinical and immunological assessment of asymptomatic SARS-CoV-2
    infections”. Nature Medicine 26(8), pp. 1200–1204.
    Lowen, A. C. and J. Steel (2014). “Roles of Humidity and Temperature in Shaping
    Influenza Seasonality”. Journal of Virology 88(14), pp. 7692–7695.
    Qiu, Y., X. Chen, and W. Shi (2020). “Impacts of social and economic factors on
    the transmission of coronavirus disease 2019 (COVID-19) in China”. Journal
    of Population Economics 33(4), pp. 1127–1172.
    Tibshirani, R. (1996). “Regression Shrinkage and Selection Via the Lasso”. Journal
    of the Royal Statistical Society: Series B (Methodological) 58(1), pp. 267–288.
    22
    Timpson, N. J., D. A. Lawlor, R. M. Harbord, T. R. Gaunt, I. NM. Day,
    L. J. Palmer, A. T. Hattersley, Shah Ebrahim, G. DO. Lowe, A. Rumley, and
    G. D. Smith (2005). “C-reactive protein and its role in metabolic syndrome:
    mendelian randomisation study”. The Lancet 366(9501), pp. 1954–1959.
    Wang, M., A. Jiang, L. Gong, L. Lu, W. Guo, C. Li, J. Zheng, C. Li, B. Yang,
    J. Zeng, Y. Chen, K. Zheng, and H. Li (2020). “Temperature significant change
    COVID-19 Transmission in 429 cities”. medRxiv.
    Windmeijer, F., H. Farbmacher, N. Davies, and G. D. Smith (2019). “On the Use
    of the Lasso for Instrumental Variables Estimation with Some Invalid
    Instruments”. Journal of the American Statistical Association 114(527),
    pp. 1339–1350.
    Yu, P., J. Zhu, Z. Zhang, and Y. Han (2020). “A Familial Cluster of Infection
    Associated With the 2019 Novel Coronavirus Indicating Possible
    Person-to-Person Transmission During the Incubation Period”. The Journal
    of Infectious Diseases 221(11), pp. 1757–1761.

    QR CODE