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A User's Guide to Inference in Models Defined by Moment Inequalities
Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023
Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...
Persistent link: https://www.econbiz.de/10014247961
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Generalized Moments Estimation for Panel Data
Druska, Viliam - 2003
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10012469113
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Identification in a Binary Choice Panel Data Model with a Predetermined Covariate
Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - National Bureau of Economic Research - 2023
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …
Persistent link: https://www.econbiz.de/10014247948
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Robust Standard Errors in Small Samples : Some Practical Advice
Imbens, Guido W. - 2012
In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...
Persistent link: https://www.econbiz.de/10012460183
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Finite Population Causal Standard Errors
Abadie, Alberto - 2014
When a researcher estimates the parameters of a regression function using information on all 50 states in the United States, or information on all visits to a website, what is the interpretation of the standard errors? Researchers typically report standard errors that are designed to capture...
Persistent link: https://www.econbiz.de/10012458342
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10012458043
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Maximum Likelihood in the Frequency Domain : A Time to Build Example
Christiano, Lawrence J. - 1999
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...
Persistent link: https://www.econbiz.de/10012471773
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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
Lo, Andrew W. - 1986
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution...
Persistent link: https://www.econbiz.de/10012477081
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Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models
Fair, Ray C. - 1980
A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The solution method can be used in forecasting and policy applications and can handle models with serial correlation and multiple viewpoint dates. When applied to linear models, the...
Persistent link: https://www.econbiz.de/10012478577
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Estimation of Econometric Model Using Nonlinear Full Information Maximum Likelihood : Preliminary Computer Results
Belsley, David A. - 1976
This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the...
Persistent link: https://www.econbiz.de/10012478987