Narrow search
Showing 1 - 10 of 46
Cover Image
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
Cover Image
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
Cover Image
Intersection bounds : estimation and inference
Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is...
Persistent link: https://www.econbiz.de/10009375645
Cover Image
Individual heterogeneity and average welfare
Hausman, Jerry A.; Newey, Whitney K. - 2013
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. We find that the dimension of...
Persistent link: https://www.econbiz.de/10009773907
Cover Image
Inference on counterfactual distributions
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2013
Counterfactual distributions are important ingredients for policy analysis and decomposition analysis in empirical …
Persistent link: https://www.econbiz.de/10009741375
Cover Image
A nonparametric test of the leverage hypothesis
Linton, Oliver; Whang, Yoon-jae; Yen, Yu-min - 2012
general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on parameters …
Persistent link: https://www.econbiz.de/10009615540
Cover Image
Asymptotic efficiency of semiparametric two-step GMM
Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng - 2012 - This revision: June 2012
In this note, we characterize the semiparametric efficiency bound for a class of semi- parametric models in which the … involving the nuisance functions. We discover a surprising result that semiparametric two-step optimally weighted GMM estimators …
Persistent link: https://www.econbiz.de/10009667046
Cover Image
Intersection bounds : estimation and inference
Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2012
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that...
Persistent link: https://www.econbiz.de/10009668003
Cover Image
Individual heterogeneity and average welfare
Hausman, Jerry A.; Newey, Whitney K. - 2014 - Rev.
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. Only the marginal distribution of...
Persistent link: https://www.econbiz.de/10010411294
Cover Image
Asymptotic efficiency of semiparametric two-step GMM
Ackerberg, Daniel A.; Chen, Xiaohong; Hahn, Jinyong - 2014
Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via … we characterize the semiparametric efficiency bound for this class of models. We show that semiparametric two …
Persistent link: https://www.econbiz.de/10010365213