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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
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Testing for long-run homogeneity in the Linear Almost Ideal Demand System An application on Norwegian quarterly data for non-durables
Skjerpen, Terje; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2000
We consider testing for long-run homogeneity within a dynamic consumer demand system allowing for non-stationarities. The static long-run solution is assumed to follow the Linear Almost Ideal Demand System and we test for long-run homogeneity within this system utilizing a triangular...
Persistent link: https://www.econbiz.de/10004980567
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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
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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 <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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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
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Local GEL methods for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...
Persistent link: https://www.econbiz.de/10005727678
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry; Newey, Whitney; Woutersen, Tiemen; … - Centre for Microdata Methods and Practice (CEMMAP) - 2007
<p><p><p><p><p><p><p>It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...</p></p></p></p></p></p></p>
Persistent link: https://www.econbiz.de/10005727684
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Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary
Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2008
<p><p><p><p>We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...</p></p></p></p>
Persistent link: https://www.econbiz.de/10005727692
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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
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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
<p>This paper is concerned with inference about a function <i>g</i> that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that <i>g</i> belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...</p>
Persistent link: https://www.econbiz.de/10005547926