Showing 1 - 10 of 67
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finitedimensional families of functions. Existing...
Persistent link: https://www.econbiz.de/10005811462
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
For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...
Persistent link: https://www.econbiz.de/10005727653
<p><p><p>In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The...</p></p></p>
Persistent link: https://www.econbiz.de/10005727657
We study identification in static, simultaneous move finite games of complete information, where the presence of multiple Nash equilibria may lead to partial identification of the model parameters. The identification regions for these parameters proposed in the related literature are known not...
Persistent link: https://www.econbiz.de/10005727666
<p><p>This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...</p></p>
Persistent link: https://www.econbiz.de/10005727674
This paper considers structural nonparametric random utility models for continuous choice variables. It provides suffcient conditions on random preferences to yield reduced- form systems of nonparametric stochastic demand functions that allow global invertibility between demands and random...
Persistent link: https://www.econbiz.de/10005727677
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
The approximate effects of measurement error on a variety of measures of inequality and poverty are derived. They are shown to depend on the measurement error variance and functionals of the error contaminated income distribution, but not on the form of the measurement error distribution, and to...
Persistent link: https://www.econbiz.de/10005727680
This paper develops and implements semiparametric methods for estimating binary response (binary choice) models withcontinuous endogenous regressors. It extends the existing literature on semiparametric estimation in single index binary response models to the case of endogenous regressors. It...
Persistent link: https://www.econbiz.de/10005727681