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Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2010
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 baselinepretreatment 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/10003989944
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Uniform post selection inference for LAD regression models
Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2013
-regular estimation of nuisance part of the regression function, in the sense of Neyman. We establish that in a homoscedastic regression …
Persistent link: https://www.econbiz.de/10009747946
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Central limit theorems and multiplier bootstrap when p is much larger than n
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012
high dimensional estimation, multiple hypothesis testing, and adaptive specification testing. All of our results contain …
Persistent link: https://www.econbiz.de/10009692028
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Testing many moment inequalities
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10010226521
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Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013
estimation, multiple hypothesis testing, and adaptive specification testing. All these results contain non-asymptotic bounds on …
Persistent link: https://www.econbiz.de/10010227470
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Uniform post selection inference for LAD regression and other z-estimation problems
Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2013
is immunized against non-regular estimation of nuisance part of the median regression function, in the sense of Neyman … interest in a non-smooth Z-estimation framework with approximately sparse nuisance functions, containing median regression with …
Persistent link: https://www.econbiz.de/10010227487
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Testing many moment inequalities
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: September 10, 2015
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10011525823
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Testing many moment inequalities
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014 - This version: December 16, 2014
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10010459258
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Uniform post selection inference for LAD regression and other Z-estimation problems
Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2014
model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular estimation … general non-smooth Z-estimation framework with the number of target parameters p1 being possibly much larger than the sample …
Persistent link: https://www.econbiz.de/10010462672
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Instrumental variables, local instrumental variables and control functions
Florens, Jean-Paul; Heckman, James J.; Meghir, Costas; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001748192