Showing 1 - 10 of 42
<p>This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's...</p>
Persistent link: https://www.econbiz.de/10005509552
In this paper we study a random coefficient model for a binary outcome. We allow for the possibility that some or even all of the regressors are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are...
Persistent link: https://www.econbiz.de/10010593710
The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) models to a wide class of problems in which multiple values of unobservable variables can be...
Persistent link: https://www.econbiz.de/10010827509
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. We find that the dimension of...
Persistent link: https://www.econbiz.de/10010827527
We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...
Persistent link: https://www.econbiz.de/10010827566
This paper studies simultaneous equations models for two or more discrete outcomes. These models may be incoherent, delivering no values of the outcomes at certain values of the latent variables and covariates, and they may be incomplete, delivering more than one value of the outcomes at certain...
Persistent link: https://www.econbiz.de/10010567020
characterise the bias introduced by misclassification on the average treatment effect on the treated under the assumption of … selection on observables. Although the bias of matching-type estimators computed from misclassified data cannot in general be … signed, we show that the bias is most likely to be downward if misclassification does not depend on variables entering the …
Persistent link: https://www.econbiz.de/10005727683
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
This paper considers parametric estimation problems with i.i.d. data. It focusses on rate-effciency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the...
Persistent link: https://www.econbiz.de/10005811438
ExpEnd is a Gauss programme for non-linear generalised method of moments (GMM) estimation of exponential models with endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM for cross section data using moment conditions...
Persistent link: https://www.econbiz.de/10005811450