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Commuters' Preferences for Fast and Reliable Travel

Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013

We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …

Persistent link: https://www.econbiz.de/10011271951

A K-sample Homogeneity Test based on the Quantification of the p-p Plot

Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

Persistent link: https://www.econbiz.de/10011255562

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the Journal of Economic Dynamics & Control, 34(9), 1596-1609. We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...

Persistent link: https://www.econbiz.de/10011256012

Maximum score estimation of preference parameters for a binary choice model under uncertainty

Chen, Le-Yu; Sokbae 'Simon' Lee; Sung, Myung Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...

Persistent link: https://www.econbiz.de/10010640964

A User's Guide to Inference in Models Defined by Moment Inequalities

Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023

Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...

Persistent link: https://www.econbiz.de/10014247961

Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?

Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023

Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …

Persistent link: https://www.econbiz.de/10014322772

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10005811463

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

Horowitz, Joel; Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2007

This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

Persistent link: https://www.econbiz.de/10005547926

Intersection bounds: estimation and inference

Chernozhukov, Victor; Sokbae 'Simon' Lee; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that...

Persistent link: https://www.econbiz.de/10010593713

Exogeneity in semiparametric moment condition models

Parente, Paulo; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2012

The primary concern of this article is the provision of definitions and tests for exogeneity appropriate for models defined through sets of conditional moment restrictions. These forms of exogeneity are expressed as additional conditional moment constraints and may be equivalently formulated as...

Persistent link: https://www.econbiz.de/10010593715

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