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Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10009554364

Measuring the price responsiveness of gasoline demand

Blundell, Richard W.; Horowitz, Joel; Parey, Matthias - 2009

This paper develops a new method for estimating the demand function for gasoline and the deadweight loss due to an increase in the gasoline tax. The method is also applicable to other goods. The method uses shape restrictions derived from economic theory to improve the precision of a...

Persistent link: https://www.econbiz.de/10003838977

Measuring the price responsiveness of gasoline demand : economic shape restrictions and nonparametric demand estimation

Blundell, Richard W.; Horowitz, Joel; Parey, Matthias - 2011

; Nonparametric Estimation ; Gasoline Demand ; Deadweight Loss …

Persistent link: https://www.econbiz.de/10009230288

Adaptive nonparametric instrumental variables estimation : empirical choice of the regularisation parameter

Horowitz, Joel - 2012

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

Persistent link: https://www.econbiz.de/10009760143

Penalized estimation of high-dimensional models under a generalized sparsity condition

Horowitz, Joel; Huang, Jian - 2012

We consider estimation of a linear or nonparametric additive model in which a few coefficients or additive components …

Persistent link: https://www.econbiz.de/10009567830

Estimation of a nonseparable heterogenous demand function with shape restrictions and Berkson errors

Blundell, Richard W.; Horowitz, Joel; Parey, Matthias - 2018

show the importance of such measurement errors for the estimation of demand in a setting with nonseparable unobserved …

Persistent link: https://www.econbiz.de/10011935703