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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Cho, Jin Seo; Han, Chirok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009
heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density …Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional … estimation to financial time series data. …
Persistent link: https://www.econbiz.de/10004998317
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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Han, Chirok; Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009
a probability density at the median. The approach makes use of work by Knight (1998) on L_1 estimation asymptotics in … conjunction with non-parametric kernel density estimation methods. The size and power of the tests are assessed, and conditions …
Persistent link: https://www.econbiz.de/10004998320
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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2008
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables, and X is independent of the unobservables. We treat models in which Y is censored from above,...
Persistent link: https://www.econbiz.de/10009003657
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A Limit Theorem for a Smooth Class of Semiparametric Estimators
Pakes, Ariel; Olley, Steven - Cowles Foundation for Research in Economics, Yale University - 1994
We consider an econometric model based on a set of moment conditions which are indexed by both a finite dimensional parameter vector of interest, and an infinite dimensional parameter, h, which in turn depends upon both and another infinite dimensional parameter, tau. The model assumes that the...
Persistent link: https://www.econbiz.de/10005762567
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Identification of a Heterogeneous Generalized Regression Model with Group Effects
Berry, Steven T.; Haile, Philip A. - Cowles Foundation for Research in Economics, Yale University - 2009
We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully...
Persistent link: https://www.econbiz.de/10008479206
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Nonparametric Censored Regression
Lewbel, Arthur; Linton, Oliver Linton - Cowles Foundation for Research in Economics, Yale University - 1998
The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown, but the fixed censoring point c is known. This paper provides a simple consistent estimator of the derivative of m(x) with respect to each...
Persistent link: https://www.econbiz.de/10005593534
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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2008
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...
Persistent link: https://www.econbiz.de/10005463961
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The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis
Hajivassiliou, Vassilis A.; McFadden, Daniel - Cowles Foundation for Research in Economics, Yale University - 1990
The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the …. The estimation method is applied to analyze a model in which the incidence and the extent of debt repayments problems of …
Persistent link: https://www.econbiz.de/10005087402
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Identifying Latent Structures in Panel Data
Su, Liangjun; Shi, Zhentao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014
-specific coefficients. C-Lasso achieves simultaneous classification and consistent estimation in a single step and the classification … exhibits the desirable property of uniform consistency. For PLS estimation C-Lasso also achieves the oracle property so that … identity information. For PGMM estimation the oracle property of C-Lasso is preserved in some special cases. Simulations …
Persistent link: https://www.econbiz.de/10011096428
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Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2011
This paper shows that moment inequality tests that are asymptotically similar on the boundary of the null hypothesis exist, but have poor power. Hence, existing tests in the literature, which are asymptotically non-similar on the boundary, are not deficient. The results are obtained by first...
Persistent link: https://www.econbiz.de/10009200969