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Alternative approaches to evaluation in empirical microeconomics

Blundell, Richard; Dias, Monica Costa - Centre for Microdata Methods and Practice (CEMMAP) - 2002

requirements are considered for estimation of a number of key parameters of interest. These key parameters include the average …

Persistent link: https://www.econbiz.de/10005727694

Estimation of dynamic linear models in short panels with ordinal observation

Pudney, Stephen - Centre for Microdata Methods and Practice (CEMMAP) - 2005

We develop a simulated ML method for short-panel estimation of one or more dynamic linear equations, where the …

Persistent link: https://www.econbiz.de/10005037567

Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity

Wooldridge, Jeffrey M - Centre for Microdata Methods and Practice (CEMMAP) - 2002

variables). The approach is flexible, and results in simple estimation strategies for at least three leading dynamic, nonlinear …

Persistent link: https://www.econbiz.de/10005509566

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 estimation of semiparametric conditional moment models with possibly nonsmooth residuals

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

endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h … an alternative consistent estimation of confidence region of the efficient PSMD estimator of θ. All the theoretical … theories using a partially linear quantile instrumental variables regression, a Monte Carlo study, and an empirical estimation …

Persistent link: https://www.econbiz.de/10005727653

Generalized nonparametric deconvolution with an application to earnings dynamics

Bonhomme, Stéphane; Robin, Jean-Marc - Centre for Microdata Methods and Practice (CEMMAP) - 2008

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...

Persistent link: https://www.econbiz.de/10005727657

Sharp identification regions in games

Beresteanu, Arie; Molchanov, Ilya; Molinari, Francesca - Centre for Microdata Methods and Practice (CEMMAP) - 2008

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

Estimation of nonparametric conditional moment models with possibly nonsmooth moments

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

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be … variables (IV) estimation, and a difficult nonlinear ill-posed inverse problem with an unknown operator. We first propose a … a simulation study and an empirical estimation of a system of nonparametric quantile IV Engel curves. …

Persistent link: https://www.econbiz.de/10005727674

Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility

Beckert, Walter; Blundell, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

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

Local GEL methods for conditional moment restrictions

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

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