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Set identification with Tobin regressors

Chernozhukov, Victor; Rigobón, Roberto; Stoker, Thomas … - 2009

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected, called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...

Persistent link: https://www.econbiz.de/10003838979

Quantile and average effects in nonseparable panel models

Chernozhukov, Victor; Fernández-Val, Iván; Newey, … - 2009

This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or...

Persistent link: https://www.econbiz.de/10003899091

The economics and psychology of inequality and human development

Cunha, Flávio; Heckman, James J. - 2009

Recent research on the economics of human development deepens understanding of the origins of inequality and excellence. It draws on and contributes to personality psychology and the psychology of human development. Inequalities in family environments and investments in children are substantial....

Persistent link: https://www.econbiz.de/10003899878

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003899921

Sparse models and methods for optimal instruments with an application to eminent domain

Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010

sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and … functions which are of independent theoretical and practical interest. Specifically, we develop the asymptotic theory for these … innovatively using moderate deviation theory for self-normalized sums, we provide convergence rates for these estimators that are …

Persistent link: https://www.econbiz.de/10008695561

Inference for high-dimensional sparse econometric models

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2011

This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious,...

Persistent link: https://www.econbiz.de/10009419335

Estimation of treatment effects with high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2011

We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly...

Persistent link: https://www.econbiz.de/10009419338

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2012

bounds as a by-product of our inferential procedures. We develop theory for large sample inference based on the strong …

Persistent link: https://www.econbiz.de/10009668003

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011

inferential procedures. We develop theory for large sample inference based on the strong approximation of a sequence of series or …

Persistent link: https://www.econbiz.de/10009375645

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

Persistent link: https://www.econbiz.de/10010200037