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Identification and Estimation of 'Irregular' Correlated Random Coefficient Models

Graham, Bryan S. - 2008

In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The …) strong conditions on the time series properties of the regressor vector. We demonstrate irregular identification of the APE … identification result and characterize its large sample properties. While irregularity precludes our estimator from attaining …

Persistent link: https://www.econbiz.de/10012464178

Local Projections vs. VARs : Lessons From Thousands of DGPs

Li, Dake; Plagborg-Møller, Mikkel; Wolf, Christian - National Bureau of Economic Research - 2022

data. Our analysis considers various identification schemes and several variants of LP and VAR estimators. A clear bias …

Persistent link: https://www.econbiz.de/10013334425

Incorporating Micro Data into Differentiated Products Demand Estimation with PyBLP

Conlon, Christopher; Gortmaker, Jeff - National Bureau of Economic Research - 2023

selected consumers into Berry, Levinsohn, and Pakes (1995)-style estimates of differentiated products demand systems. We extend …

Persistent link: https://www.econbiz.de/10014337838

Digital Advertising and Market Structure : Implications for Privacy Regulation

Deisenroth, Daniel; Manjeer, Utsav; Sohail, Zarak; … - National Bureau of Economic Research - 2024

Digital advertising, which uses consumer data to target ads to users, now accounts for most of global ad expenditures. Privacy concerns have prompted regulations that restrict the use of personal data. To inform these policy debates, we develop an equilibrium model of advertising and market...

Persistent link: https://www.econbiz.de/10014635689

Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order

Haan, Wouter J. den - 2000

This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...

Persistent link: https://www.econbiz.de/10012471034

When to Control for Covariates? Panel-Asymptotic Results for Estimates of Treatment Effects

Angrist, Joshua D. - 1999

The problem of how to control for covariates is endemic in evaluation research. Covariate-matching provides an appealing control strategy, but with continuous or high-dimensional covariate vectors, exact matching may be impossible or involve small cells. Matching observations that have the same...

Persistent link: https://www.econbiz.de/10012471690

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Newey, Whitney K. - 1986

This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions

Persistent link: https://www.econbiz.de/10012477198

Estimating the Covariates of Historical Heights

Trussell, James - 1984

Data on human height can provide an index that may measure more accurately changes in the standard of living than the more conventional real wage index. Height data, like those on real wages, are relatively abundant and extend back to the seventeenth century. In a previous paper, we developed...

Persistent link: https://www.econbiz.de/10012477633

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Inoue, Atsushi - 2005

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as …

Persistent link: https://www.econbiz.de/10012467268

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Brandt, Michael W. - 2003

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...

Persistent link: https://www.econbiz.de/10012469034

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