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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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Hypothesis testing of multiple inequalities: the method of constraint chaining
Chen, Le-Yu; Szroeter, Jerzy - 2009
behavioural functions, monotonicity and dominance relations, one-sided constraints on conditional moments in GMM estimation … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We …
Persistent link: https://www.econbiz.de/10003847567
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Testing multiple inequality hypotheses : a smoothed indicator approach
Chen, Le-Yu; Szroeter, Jerzy - 2012
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical...
Persistent link: https://www.econbiz.de/10009567851
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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 - 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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Arellano-Bond lasso estimator for dynamic linear panel models
Chernozhukov, Victor; Fernández-Val, Iván; Huang, Chen; … - 2024
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However, the estimator is severely biased when the data's time series dimension T is long due to the large degree of overidentification. We show that weak dependence along the panel's time...
Persistent link: https://www.econbiz.de/10014520814
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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