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This work proposes new inference methods for the estimation of a regression coefficient of interest in quantile regression models. We consider high-dimensional models where the number of regressors potentially exceeds the sample size but a subset of them suffice to construct a reasonable...
Persistent link: https://www.econbiz.de/10010462848
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We derive strong approximations to the supremum of the non-centered empirical process indexed by a possibly unbounded VC-type class of functions by the suprema of the Gaussian and bootstrap processes. The bounds of these approximations are non-asymptotic, which allows us to work with classes of...
Persistent link: https://www.econbiz.de/10011524717
In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the probabilities that a root-n rescaled sample average of Xi is...
Persistent link: https://www.econbiz.de/10011525777
certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process …
Persistent link: https://www.econbiz.de/10011525793
In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the probabilities that a root-n rescaled sample average of Xi is...
Persistent link: https://www.econbiz.de/10010459841
Persistent link: https://www.econbiz.de/10011961632
Persistent link: https://www.econbiz.de/10001835951
This paper develops methods for evaluating marginal policy changes. We characterize how the effects of marginal policy changes depend on the direction of the policy change, and show that marginal policy effects are fundamentally easier to identify and to estimate than conventional treatment...
Persistent link: https://www.econbiz.de/10003869267
This paper extends the widely used ordered choice model by introducing stochastic thresholds and interval-specific outcomes. The model can be interpreted as a general- ization of the GAFT (MPH) framework for discrete duration data that jointly models durations and outcomes associated with...
Persistent link: https://www.econbiz.de/10003869838