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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 … maximum score estimation with generated regressors. The paper also provides results of some Monte Carlo experiments. …

Persistent link: https://www.econbiz.de/10010640964

Efficient information theoretic inference for conditional moment restrictions

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

of explicit estimation of the conditional Jacobian and variance matrices of the conditional moment restrictions and …

Persistent link: https://www.econbiz.de/10005811463

Estimating average marginal effects in nonseparable structural systems

Schennach, Susanne; White, Halbert; Chalak, Karim - Centre for Microdata Methods and Practice (CEMMAP) - 2007

<p><p>We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...</p></p>

Persistent link: https://www.econbiz.de/10005509545

Identifying the returns to lying when the truth is unobserved

Hu, Yingyao; Lewbel, Arthur - Centre for Microdata Methods and Practice (CEMMAP) - 2008

variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0 …

Persistent link: https://www.econbiz.de/10005509568

Efficient estimation of the semiparametric spatial autoregressive model

Robinson, Peter - Centre for Microdata Methods and Practice (CEMMAP) - 2006

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing non stochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series non...

Persistent link: https://www.econbiz.de/10005547932

Intersection bounds: estimation and inference

Chernozhukov, Victor; Sokbae 'Simon' Lee; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that...

Persistent link: https://www.econbiz.de/10010593713

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

Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Chen, Xiaohong; Christensen, Timothy - Centre for Microdata Methods and Practice (CEMMAP) - 2013

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Persistent link: https://www.econbiz.de/10010827532

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10010827553

Adaptive nonparametric instrumental variables estimation: empirical choice of the regularisation parameter

Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

Persistent link: https://www.econbiz.de/10010827570