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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …
Persistent link: https://www.econbiz.de/10009719116
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On the identification of structural linear functionals
Escanciano, Juan Carlos; Li, Wei - 2013
This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified well and which ones cannot. It contributes to answering this question by characterizing the identified set of linear continuous functionals of the NPIVR under norm constraints....
Persistent link: https://www.econbiz.de/10010188249
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Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...
Persistent link: https://www.econbiz.de/10010469057
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Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Chen, Xiaohong (contributor); Pouzo, Demian (contributor) - 2008
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...
Persistent link: https://www.econbiz.de/10003739667
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Instrumental variable models for discrete outcomes
Chesher, Andrew (contributor) - 2009 - Revised July 3rd 2009
Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated....
Persistent link: https://www.econbiz.de/10003785212
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Inference on counterfactual distributions
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2009
In this paper we develop procedures for performing inference in regression models about how potential policy interventions affect the entire marginal distribution of an outcome of interest. These policy interventions consist of either changes in the distribution of covariates related to the...
Persistent link: https://www.econbiz.de/10003838972
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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
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Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
Ai, Chunrong; Chen, Xiaohong - 2009
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of … (2003) for semiparametric conditional moment restriction models with identical information sets to the case of nested … semiparametric panel data models and semiparametric two stage plug-in problems. As an example, we compute the efficiency bound for a …
Persistent link: https://www.econbiz.de/10003899088
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Identification region of the potential outcome distributions under instrument independence
Kitagawa, Toru - 2009
This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...
Persistent link: https://www.econbiz.de/10003899093
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Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Horowitz, Joel; Lee, Sokbae - 2009
This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in...
Persistent link: https://www.econbiz.de/10003869256