Search Results (9)

This study develops a semiparametric causal inference framework to quantify the effect of Artificial Intelligence (AI) adoption on enterprise labor structure under high-dimensional confounding. We employ the Double Machine Learning (DML) estimator proposed, which combines Neyman orthogonality and cross-fitting to achieve reliable causal identification in settings where conventional regression methods are prone to bias from high-dimensional controls and nonlinear confounding. Nuisance functions are estimated using Lasso and Random Forests, enabling flexible modeling of complex relationships between control variables and outcomes. Using an unbalanced panel of Chinese A-share listed companies spanning 2006 to 2023, we identify a significant positive average treatment effect of AI adoption on the share of high-skilled labor (estimate: 0.118; 95% CI: [0.073, 0.163]), indicating that complementarity between AI and skilled workers dominates substitution at the firm level. Heterogeneity analysis reveals that the effect is stronger in manufacturing (0.183) than in services (0.071), and more pronounced in Eastern China (0.142) than in Central and Western regions (0.079). Quantile regression further shows that the complementarity effect intensifies at higher skill quantiles. A Panel Smooth Transition Regression (PSTR) model identifies a digitalization threshold beyond which AI–skill complementarity further strengthens. Mediation analysis confirms that productivity enhancement, digital transformation, and innovation activities together account for the majority of the total effect, with productivity improvement alone contributing approximately 34%. Placebo tests and propensity score weighting validate the robustness of our findings. Full article

Many phenomena can be described by random variables that follow asymmetrical distributions. In the context of regression, when the response variable Y follows such a distribution, it is preferable to estimate the response variable for predictor values using the conditional median. Quantile regression models can be employed for this purpose. However, traditional models do not incorporate a distributional assumption for the response variable. To introduce a distributional assumption while preserving model flexibility, we propose new varying-coefficients quantile regression models based on the family of log-symmetric distributions. We achieve this by reparametrizing the distribution of the response variable using quantiles. Parameter estimation is performed using a maximum likelihood penalized method, and a back-fitting algorithm is developed. Additionally, we propose diagnostic techniques to identify potentially influential local observations and leverage points. Finally, we apply and illustrate the methodology using real pollution data from Padre Las Casas city, one of the most polluted cities in Latin America and the Caribbean according to the World Air Quality Index Ranking. Full article

In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign exchange rate interbank market. We aim at improving existing methods for VaR prediction of currency investments using machine learning. We employ two different methods, i.e., ensemble methods and neural networks. Explanatory variables are implied volatilities with plausible economic interpretation. The forward-looking nature of the model, achieved by the application of implied volatilities as risk factors, ensures that new information is rapidly reflected in value-at-risk estimates. To the best of our knowledge, this study is the first to utilize information in the volatility surface, combined with machine learning and quantile regression, for VaR prediction of currency investments. The proposed ensemble models achieve good estimates across all quantiles. The light gradient boosting machine model and the categorical boosting model both yield estimates which are better than, or equal to, those of the benchmark model. In general, neural network models are quite unstable. Full article

China’s listed companies have different ownership characteristics and market environments from those of other countries and thus exhibit vastly different changes. From the existing corporate life cycle perspective, companies differ in their different development stages, which makes each factor’s effect dynamic. How to adjust the governance mechanism to the requirements of the company’s stage of development is an urgent issue in sustainable corporate governance. To address the above issues, we establish a semi-parametric quantile regression model to analyze the relationship between the ownership structure and corporate performance based on the data of listed companies on the Shanghai Stock Exchange between 2013 and 2021. Moreover, corporate governance measures taken at different stages of the corporate life cycle are discussed to see whether they effectively improve corporate governance. We conclude that there are non-linear effects of ownership structure while dynamic changes in corporate governance mechanisms exist. Companies should be concerned about the non-linear effects of ownership structures while considering the company’s life cycle and choosing appropriate governance measures. The results will help develop a sustainable development strategy to ensure that the company can improve its profitability and mitigate agency problems. Full article

Estimating the impact of climate change risks on rice distribution is one of the most important elements of climate risk management. This paper is based on the GEE (Google Earth Engine) platform and multi-source remote sensing data; the authors quantitatively extracted rice production distribution data in China from 1990 to 2019, analysed the evolution pattern of rice distribution and clusters and explored the driving effects between climatic and environmental conditions on the evolution of rice production distribution using the non-parametric quantile regression model. The results show that: The spatial variation of rice distribution is significant, mainly concentrated in the northeast, south and southwest regions of China; the distribution of rice in the northeast is expanding, while the distribution of rice in the south is extending northward, showing a spatial evolution trend of “north rising and south retreating”. The positive effect of precipitation on the spatial distribution of rice has a significant threshold. This shows that when precipitation is greater than 800 mm, there is a significant positive effect on the spatial distribution of rice production, and this effect will increase with precipitation increases. Climate change may lead to a continuous northward shift in the extent of rice production, especially extending to the northwest of China. This paper’s results will help implement more spatially targeted climate change adaptation measures for rice to cope with the changes in food production distribution caused by climate change. Full article

Proactive management of wastewater pipes requires the development of deterioration models that support maintenance and inspection prioritization. The complexity and the lack of understanding of the deterioration process make this task difficult. A semiparametric Bayesian geoadditive quantile regression approach is applied to estimate the deterioration of wastewater pipe from a set of covariates that are allowed to affect linearly and nonlinearly the response variable. Categorical covariates only affect linearly the response variable. In addition, geospatial information embedding the unknown and unobserved influential covariates is introduced as a surrogate covariate that capture global autocorrelations and local heterogeneities. Boosting optimization algorithm is formulated for variable selection and parameter estimation in the model. Three geoadditive quantile regression models (5%, 50% and 95%) are developed to evaluate the band of uncertainty in the prediction of the pipes scores. The proposed model is applied to the wastewater system of the city of Calgary. The results show that an optimal selection of covariates coupled with appropriate representation of the dependence between the covariates and the response increases the accuracy in the estimation of the uncertainty band of the response variable. The proposed modeling approach is useful for the prioritization of inspections and provides knowledge for future installations. In addition, decision makers will be informed of the probability of occurrence of extreme deterioration events when the identified causal factors, in the 5% and 95% quantiles, are observed on the field. Full article

Since carbon price volatility is critical to the risk management of the CO₂ emissions trading market, research has focused on energy prices and macroeconomic drivers which cause changes in carbon prices and make the carbon market more volatile than other markets. However, they have ignored whether the impact of carbon price determinants changes when the carbon price is at different levels. To fill this gap, this paper applies a semiparametric quantile regression model to explore the effects of energy prices and macroeconomic drivers on carbon prices at different quantiles. The model combines the advantages of parameter estimation, nonparametric estimation and quantile regression to describe the nonlinear relationship between carbon price and its fundamentals, which do not need to make any assumptions about the random error. Carbon prices are high–tailed and exhibit higher kurtosis, the traditional models which tend to assume that data are normally distributed can’t perform well. Furthermore, the semiparametric model doesn’t need to assume that the data are normally distributed. Therefore, the semiparametric model can effectively model the data. Some new evidence from China’s emission trading scheme (ETS) pilots shows that energy prices and macroeconomic drivers have different effects on carbon prices at high or low quantiles. First, the negative impact of coal prices on carbon prices was greater at the lower quantile of carbon prices in the Shenzhen ETS pilot. However, the effects of coal prices were positive in the Beijing ETS pilot, which may be attributed to great demand for coal. Second, oil prices had greater negative effects on carbon prices at higher quantiles in Beijing and Hubei ETS pilots. This can be attributed to the fact that businesses use less oil when carbon prices are high. For the Shenzhen ETS pilot, the effects of oil prices were positive. Third, natural gas prices have a stronger effect on carbon prices as quantiles increased in the Beijing and Hubei ETS pilots. Lastly, the effects of macroeconomic drivers on carbon prices at low quantiles were stronger in the Shenzhen ETS pilots and higher at the medium quantiles in Beijing and Hubei ETS pilots. These findings suggest that the impact of determinants on the carbon prices at different levels is not constant. Ignoring this issue will lead to a missed warning about the risks of the carbon market. This study will be of positive significance for China’s emission trading scheme (ETS) pilots, in order to accurately monitor the effects of carbon prices determinants and effectively avoid carbon market risks. Full article

Allowing for misspecification in the linear conditional quantile function, this paper provides a new interpretation and the semiparametric efficiency bound for the quantile regression parameter β ( τ ) in Koenker and Bassett (1978). The first result on interpretation shows that under a mean-squared loss function, the probability limit of the Koenker–Bassett estimator minimizes a weighted distribution approximation error, defined as (F_{Y}(X'eta( au)|X) - au), i.e., the deviation of the conditional distribution function, evaluated at the linear quantile approximation, from the quantile level. The second result implies that the Koenker–Bassett estimator semiparametrically efficiently estimates the quantile regression parameter that produces parsimonious descriptive statistics for the conditional distribution. Therefore, quantile regression shares the attractive features of ordinary least squares: interpretability and semiparametric efficiency under misspecification. Full article

A large part of the decision-making problems actors of the power system are facing on a daily basis requires scenarios for day-ahead electricity market prices. These scenarios are most likely to be generated based on marginal predictive densities for such prices, then enhanced with a temporal dependence structure. A semi-parametric methodology for generating such densities is presented: it includes: (i) a time-adaptive quantile regression model for the 5%–95% quantiles; and (ii) a description of the distribution tails with exponential distributions. The forecasting skill of the proposed model is compared to that of four benchmark approaches and the well-known the generalist autoregressive conditional heteroskedasticity (GARCH) model over a three-year evaluation period. While all benchmarks are outperformed in terms of forecasting skill overall, the superiority of the semi-parametric model over the GARCH model lies in the former’s ability to generate reliable quantile estimates. Full article