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Persistent link: https://www.econbiz.de/10003637484
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
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
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
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
; Econometrics ; Random Coefficients ; Discrete Choice …
Persistent link: https://www.econbiz.de/10008824642
Persistent link: https://www.econbiz.de/10003671554
Persistent link: https://www.econbiz.de/10003502449
The cumulants of the quadratic forms associated to the so-called spatial design matrices are often needed for inference in the context of isotropic processes on uniform grids. Unfortunately, because the eigenvalues of the matrices involved are generally unknown, the computation of the cumulants...
Persistent link: https://www.econbiz.de/10003942207
discussion of developments in the econometrics of group interactions. I subsequently provide a description of statistical and …
Persistent link: https://www.econbiz.de/10011417423