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Historical econometrics : instrumental variables and regression discontinuity designs
Caicedo, Felipe Valencia - 2020
Persistent link: https://www.econbiz.de/10012299251
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Inference in high dimensional panel models with an application to gun control
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...
Persistent link: https://www.econbiz.de/10010459263
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Sparse models and methods for optimal instruments with an application to eminent domain
Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the sample size, n. We rigorously develop asymptotic...
Persistent link: https://www.econbiz.de/10008695561
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Identification and estimation in a correlated random coefficients binary response model
Hoderlein, Stefan; Sherman, Robert - 2012
We study identification and estimation in a binary response model with random coefficients B allowed to be correlated with regressors X. Our objective is to identify the mean of the distribution of B and estimate a trimmed mean of this distribution. Like Imbens and Newey (2009), we use...
Persistent link: https://www.econbiz.de/10009728916
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Decentralization estimators for instrumental variable quantile regression models
Kaido, Hiroaki; Wüthrich, Kaspar - 2019
The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for …-convexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of … conventional quantile regression sub-problems which are convex and can be solved efficiently. This reformulation leads to new …
Persistent link: https://www.econbiz.de/10012053040
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Decentralization estimators for instrumental variable quantile regression models
Kaido, Hiroaki; Wüthrich, Kaspar - 2018
The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a flexible and …. Estimation, however, is computationally burdensome because the GMM objective function is non-smooth and non-convex. This paper … shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems, which …
Persistent link: https://www.econbiz.de/10011950639
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Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2017 - Current Version: December 21, 2017
High-dimensional linear models with endogenous variables play an increasingly important role in recent econometric literature. In this work we allow for models with many endogenous variables and many instrument variables to achieve identification. Because of the high-dimensionality in the second...
Persistent link: https://www.econbiz.de/10011775296
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Nonparametric instrumental variable estimation
Wilhelm, Daniel; Chetverikov, Denis; Kim, Dongwoo - 2017
This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable …
Persistent link: https://www.econbiz.de/10011758353
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Nonparametric instrumental variables estimation of a quantile regression model
Horowitz, Joel (contributor); Lee, Sokbae (contributor) - 2006
Persistent link: https://www.econbiz.de/10003332176
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Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
Horowitz, Joel (contributor); Lee, Sokbae (contributor) - 2007
Persistent link: https://www.econbiz.de/10003410811