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Sharp IV bounds on average treatment effects under endogeneity and noncompliance

Huber, Martin; Mellace, Giovanni - School of Economics and Political Science, Universität … - 2010

In the presence of an endogenous treatment and a valid instrument, causal effects are (nonparametrically) point identified only for the subpopulation of compliers, given that the treatment is monotone in the instrument. Further populations of likely policy interest have been widely ignored in...

Persistent link: https://www.econbiz.de/10008727702

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - School of Economics and Political Science, Universität … - 2005

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

Persistent link: https://www.econbiz.de/10005453970

Regression discontinuity design with covariates

Frölich, Markus - School of Economics and Political Science, Universität … - 2007

In this paper, the regression discontinuity design (RDD) is generalized to account for differences in observed covariates X in a fully nonparametric way. It is shown that the treatment effect can be estimated at the rate for one-dimensional nonparametric regression irrespective of the dimension...

Persistent link: https://www.econbiz.de/10005200689

A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables

Frölich, Markus - School of Economics and Political Science, Universität … - 2006

This note argues that nonparametric regression not only relaxes functional form assumptions vis-a-vis parametric regression, but that it also permits endogenous control variables. To control for selection bias or to make an exclusion restriction in instrumental variables regression valid,...

Persistent link: https://www.econbiz.de/10005797674

Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics

Audrino, Francesco; Knaus, Simon - School of Economics and Political Science, Universität … - 2012

absolute shrinkage and selection operator (lasso) which should identify the aforementioned model. We prove that the lasso …. The HAR model is not recovered by the lasso on real data. This, together with an empirical out-of-sample analysis that … shows equal performance of the HAR model and the lasso approach, leads to the conclusion that the HAR model may not be the …

Persistent link: https://www.econbiz.de/10010593816

Matching Estimating of Dynamic Treatment Models: Some Practical Issues

Lechner, Michael - School of Economics and Political Science, Universität … - 2006

Lechner and Miquel (2001) approached the causal analysis of sequences of interventions from a potential outcome perspective based on selection on observable type of assumptions (sequential conditional independence assumptions). Lechner (2004) proposed matching estimators for this framework....

Persistent link: https://www.econbiz.de/10005200677

Identification of the Effects of Dynamic Treatments by Sequential Conditional Independence Assumptions

Lechner, Michael; Miquel, Ruth - School of Economics and Political Science, Universität … - 2005

period depending on its success so far, the resulting endogeneity problem destroys nonparametric identification for many …

Persistent link: https://www.econbiz.de/10005200684

Trade Liberalization and Growth: Plant-Level Evidence from Switzerland

Bühler, Stefan; Helm, Marco; Lechner, Michael - School of Economics and Political Science, Universität … - 2011

This paper estimates the effect of trade liberalization on growth, using plant-level data from Switzerland. We employ a natural experiment framework to quantify the effect of a bundle of treaties liberalizing trade between Switzerland and the EU enacted in June 2002 ("Bilateral Agreements I") on...

Persistent link: https://www.econbiz.de/10009225729

A Caseworker Like Me - Does The Similarity Between Unemployed And Caseworker Increase Job Placements?

Behncke, Stefanie; Frölich, Markus; Lechner, Michael - School of Economics and Political Science, Universität … - 2008

This paper examines whether the chances of job placements improve if unemployed persons are counselled by caseworkers who belong to the same social group, defined by gender, age, education, and nationality. Based on an unusually informative dataset, which links Swiss unemployed to their...

Persistent link: https://www.econbiz.de/10005797683

A Note on Endogenous Control Variables in Evaluation Studies

Lechner, Michael - School of Economics and Political Science, Universität … - 2005

conditional independence (CIA) or selection on observables assumption obscures the endogeneity problem. The paper clarifies the … allows to asses the endogeneity bias as well as the plausibility of the CIA, because it allows a separate discussion of (i …

Persistent link: https://www.econbiz.de/10005797688