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Econometrics with partial identification
Molinari, Francesca - 2019
Econometrics has traditionally revolved around point identi cation. Much effort has been devoted to finding the weakest … early 1990s, gaining momentum over time and developing into a widely researched area of econometrics. Partial identification … set as the parameters' sharp identifi cation region. Econometrics with partial identi fication is concerned with: (1 …
Persistent link: https://www.econbiz.de/10012011565
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2018
We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to...
Persistent link: https://www.econbiz.de/10011912653
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Identification of causal models with unobservables : a self-report approach
Hu, Yingyao - 2021
This paper presents a novel self-report approach to identify a general causal model with an unobserved covariate, which can be unobserved heterogeneity or an unobserved choice variable. It shows that a carefully designed noninvasive survey procedure can provide enough information to identify the...
Persistent link: https://www.econbiz.de/10012595615
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Impossible inference in econometrics : theory and applications
Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...
Persistent link: https://www.econbiz.de/10011958082
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Bootstrap methods in econometrics
Horowitz, Joel - 2018
econometrics. The presentation is informal and expository. It provides an intuitive understanding of how the bootstrap works …
Persistent link: https://www.econbiz.de/10011901480
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Econometric causality
Heckman, James J. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003637484
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Nonparametric identification of dynamic models with unobserved state variables
Hu, Yingyao (contributor); Shum, Matthew (contributor) - 2008
We consider the identification of a Markov process {Wt, Xt*} for t=1,2,...,T when only {Wt} for t=1, 2,..,T is observed. In structural dynamic models, Wt denotes the sequence of choice variables and observed state variables of an optimizing agent, while Xt* denotes the sequence of serially...
Persistent link: https://www.econbiz.de/10003739670
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Sharp identification regions in games
Beresteanu, Arie (contributor);  … - 2008
We study identification in static, simultaneous move finite games of complete information, where the presence of multiple Nash equilibria may lead to partial identification of the model parameters. The identification regions for these parameters proposed in the related literature are known not...
Persistent link: https://www.econbiz.de/10003739683
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Identification with imperfect instruments
Nevo, Aviv (contributor); Rosen, Adam M. (contributor) - 2008
Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...
Persistent link: https://www.econbiz.de/10003739684
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Sparse models and methods for optimal instruments with an application to eminent domain
Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the sample size, n. We rigorously develop asymptotic...
Persistent link: https://www.econbiz.de/10008695561