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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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Sparse models and methods for optimal instruments with an application to eminent domain
Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
-based IV estimator with a data-driven penalty performs well compared to recently advocated many-instrument-robust procedures …-based IV estimator substantially reduces estimated standard errors allowing one to draw much more precise conclusions about the …
Persistent link: https://www.econbiz.de/10008695561
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Inference for high-dimensional sparse econometric models
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2011
econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the …-dimensional econometrics ; instrumental regression ; partially linear regression ; returns-to-schooling ; growth regression …
Persistent link: https://www.econbiz.de/10009419335
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Mixed hitting-time models
Abbring, Jaap H. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003502449
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Quantile regression methods for recursive structural equation models
Ma, Lingjie (contributor); Koenker, Roger (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001921073
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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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Bootstrap methods in econometrics
Horowitz, Joel - 2018
The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data or … 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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Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Chen, Xiaohong (contributor); Pouzo, Demian (contributor) - 2008
penalized sieve minimum distance (SMD) estimator of the unknown functions that are identified via the conditional moment models … important applications: root-n asymptotic normality of the plug-in penalized SMD estimator of a weighted average derivative of a …
Persistent link: https://www.econbiz.de/10003739667