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Estimating demand for differentiated products with error in market shares

Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia - Centre for Microdata Methods and Practice (CEMMAP) - 2013

identification of discrete choice models of demand, we exploit shape restrictions on demand implied by discrete choice to generate a …In this paper we introduce a new approach to estimating a differentiated product demand system that allows for error in … demand estimation techniques. Although we find that error in market shares generally undermine the standard point …

Persistent link: https://www.econbiz.de/10010827545

Estimation of nonparametric conditional moment models with possibly nonsmooth moments

Chen, Xiaohong; Pouzo, Demian - Centre for Microdata Methods and Practice (CEMMAP) - 2008

<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

Local identification of nonparametric and semiparametric models

Chen, Xiaohong; Chernozhukov, Victor; Sokbae 'Simon' Lee; … - Centre for Microdata Methods and Practice (CEMMAP) - 2012

the true value that are sufficient for local identification. These results are applied to obtain new, primitive … identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single …

Persistent link: https://www.econbiz.de/10010593707

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10010575249

Quantile models with endogeneity

Chernozhukov, Victor; Hansen, Christian - Centre for Microdata Methods and Practice (CEMMAP) - 2013

the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We … update the identification results of Chernozhukov and Hansen (2005). We illustrate the modelling assumptions through …

Persistent link: https://www.econbiz.de/10010663600

The effect of fragmentation in trading on market quality in the UK equity market

Korber, Lena; Linton, Oliver; Vogt, Michael - Centre for Microdata Methods and Practice (CEMMAP) - 2013

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...

Persistent link: https://www.econbiz.de/10010827519

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

Maximal uniform convergence rates in parametric estimation problems

Beckert, Walter; McFadden, Daniel - Centre for Microdata Methods and Practice (CEMMAP) - 2005

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, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data

Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2002

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

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

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

Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura, henceforth A, S and K respectively. Because the breadth of material covered by AS and K is so vast, we concentrate only on a few topics. Generalized empirical likelihood (GEL) provides the focus for...

Persistent link: https://www.econbiz.de/10005811452