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Simulation based selection of competing structural econometric models

Li, Tong - Centre for Microdata Methods and Practice (CEMMAP) - 2006

This paper proposes a formal model selection test for choosing between two competing structural econometric models. The procedure is based on a novel lack-of-fit criterion, namely, the simulated mean squared error of predictions (SMSEP), taking into account the complexity of structural...

Persistent link: https://www.econbiz.de/10005811466

Calculating confidence intervals for continuous and discontinuous functions of parameters

Woutersen, Tiemen; Ham, John - Centre for Microdata Methods and Practice (CEMMAP) - 2013

-one outcomes), has zero derivatives, or unbounded derivatives, then researchers usually use the nonparametric bootstrap or sample … from the asymptotic distribution of the estimated parameter vector. Researchers also use these bootstrap approaches when … articles. We first show that both of these bootstrap procedures can produce confidence intervals whose asymptotic coverage is …

Persistent link: https://www.econbiz.de/10010827540

Specification for Partially Identified Models defined by Moment Inequalities

Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper studies the problem of specification testing in partially indentified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10010827552

Testing for a general class of functional inequalities

Sokbae 'Simon' Lee; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2014

bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with … estimated "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over …. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of …

Persistent link: https://www.econbiz.de/10011094570

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

Unit roots: identification and testing in micro panels

Bond, Steve; Nauges, Céline; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context....

Persistent link: https://www.econbiz.de/10005811460

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

GMM for panel count data models

Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2006

This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are...

Persistent link: https://www.econbiz.de/10005509534

Generalized empirical likelihood tests in time series models with potential identification failure

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

We introduce test statistics based on generalized empirical likelihood methods that can be used to test simple hypotheses involving the unknown parameter vector in moment condition time series models. The test statistics generalize those in Guggenberger and Smith (2005) from the i.i.d. to the...

Persistent link: https://www.econbiz.de/10005509537

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities

Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2006

This paper proposes a new way to construct confidence sets for a parameter of interest in models comprised of finitely many moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is...

Persistent link: https://www.econbiz.de/10005509548