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Binary Choice Models with Discrete Regressors: Identification and Misspecification
Komarova, Tatiana - Suntory and Toyota International Centres for Economics … - 2012
In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...
Persistent link: https://www.econbiz.de/10010658810
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ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA
Otsu, Taisuke; Rai, Yoshiyasu - Suntory and Toyota International Centres for Economics … - 2013
This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer's (2009) testable implications on extreme quantiles can be implied by a weaker version of their tail condition without...
Persistent link: https://www.econbiz.de/10010658811
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Binary Choice Models with Discrete Regressors: Identification and Misspecification
Komarova, Tatiana - Suntory and Toyota International Centres for Economics … - 2012
In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...
Persistent link: https://www.econbiz.de/10010559864
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ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA
Otsu, Taisuke; Rai, Yoshiyasu - Suntory and Toyota International Centres for Economics … - 2013
This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer's (2009) testable implications on extreme quantiles can be implied by a weaker version of their tail condition without...
Persistent link: https://www.econbiz.de/10010607593
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Goodness-of-Fit: An Economic Approach
Bandyopadhyay, Sanghamitra; Cowell, Frank A; Flachaire, … - Suntory and Toyota International Centres for Economics … - 2009
Specific functional forms are often used in economic models of distributions; goodness-of-fit measures are used to assess whether a functional form is appropriate in the light of real-world data. Standard approaches use a distance criterion based on the EDF, an aggregation of differences in...
Persistent link: https://www.econbiz.de/10008838708
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Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence
Hidalgo, Javier; Schafgans, Marcia M - Suntory and Toyota International Centres for Economics … - 2015
This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first aim is to provide a Central Limit Theorem for estimators of the slope...
Persistent link: https://www.econbiz.de/10011240549
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Series Estimation under Cross-sectional Dependence
Lee, Jungyoon; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2013
An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient conditions for convergence, are established, and a data-driven studentization...
Persistent link: https://www.econbiz.de/10011003914
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Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects
Robinson, Peter M; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2013
made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, and requires the … of N relative to T; but these can be relaxed by bias correction. For three of the estimates the biases depend only on the … fractional parameter. In hypothesis testing, bias correction of the estimates is readily carried out. We evaluate the biases …
Persistent link: https://www.econbiz.de/10011003915
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Panel Nonparametric Regression with Fixed Effects
Lee, Jungyoon; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2013
Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric...
Persistent link: https://www.econbiz.de/10011003916
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An Alternative Way of ComputingEfficient Instrumental VariableEstimators
Chen, Xiaohong; Jacho-Chávez, David T.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009
A new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the combination of a large number ofpossibly inefficient estimators rather than combining the instruments into anoptimal instrument function. The consistency and asymptotic...
Persistent link: https://www.econbiz.de/10008838716