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Semiparametric Estimation of Instrumental Variable Models for Causal Effects

Abadie, Alberto - 2000

This article introduces a new class of instrumental variable (IV) estimators of causal treatment effects for linear and nonlinear models with covariates. The rationale for focusing on nonlinear models is to improve the approximation to the causal response function of interest. For example, if...

Persistent link: https://www.econbiz.de/10012470874

Correcting Endogeneity via Instrument-Free Two-Stage Nonparametric Copula Control Functions

Hu, Xixi; Qian, Yi; Xie, Hui - National Bureau of Economic Research - 2025

endogeneity problem, a forefront of recent research is the development and application of endogeneity correction methods without … requiring instruments. In this article, we formulate the regressor endogeneity problem using a novel conditional copula … endogeneity model to capture the regressor-error dependence unexplained by exogenous regressors. The model relaxes the key …

Persistent link: https://www.econbiz.de/10015361483

Instrumental Variables Estimation of Quantile Treatment Effects

Abadie, Alberto - 1998

This paper introduces an instrumental variables estimator for the effect of a binary treatment on the quantiles of potential outcomes. The quantile treatment effects (QTE) estimator accommodates exogenous covariates and reduces to quantile regression as a special case when treatment status is...

Persistent link: https://www.econbiz.de/10012472370

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 …

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

How Precise are Estimates of the Natural Rate of Unemployment?

Staiger, Douglas - 1996

This paper investigates the precision of conventional and unconventional estimates of the natural rate of unemployment (the 'NAIRU'). The main finding is that the NAIRU is imprecisely estimated: a typical 95% confidence interval for the NAIRU in 1990 is 5.1% to 7.7%. This imprecision obtains...

Persistent link: https://www.econbiz.de/10012473382

Semiparametrically Efficient Estimation of the Average Linear Regression Function

Graham, Bryan S. - 2018

Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive "treatments". Consider the linear regression of Y onto X in a subpopulation homogenous in...

Persistent link: https://www.econbiz.de/10012480885

A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models

Fox, Jeremy T. - 2011

We explore a nonparametric mixtures estimator for recovering the joint distribution of random coefficients in economic models. The estimator is based on linear regression subject to linear inequality constraints and is computationally attractive compared to alternative, nonparametric estimators....

Persistent link: https://www.econbiz.de/10012461374

A Semiparametric Approach for Analyzing Nonignorable Missing Data

Xie, Hui - 2010

In missing data analysis, there is often a need to assess the sensitivity of key inferences to departures from untestable assumptions regarding the missing data process. Such sensitivity analysis often requires specifying a missing data model which commonly assumes parametric functional forms...

Persistent link: https://www.econbiz.de/10012462387

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Ait-Sahalia, Yacine - 1995

Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...

Persistent link: https://www.econbiz.de/10012473518

Efficient Estimation of a Dynamic Error-Shock Model

Hsiao, Cheng - 1976

This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary …

Persistent link: https://www.econbiz.de/10012478972