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Inference in high dimensional panel models with an application to gun control
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...
Persistent link: https://www.econbiz.de/10010459263
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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
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Posterior inference in curved exponential families under increasing dimensions
Belloni, Alexandre; Chernozhukov, Victor - 2013
restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …
Persistent link: https://www.econbiz.de/10010226471
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Posterior inference in curved exponential families under increasing dimensions
Belloni, Alexandre; Chernozhukov, Victor - 2013
restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …
Persistent link: https://www.econbiz.de/10010227492
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Testing multiple inequality hypotheses : a smoothed indicator approach
Chen, Le-Yu; Szroeter, Jerzy - 2012
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical...
Persistent link: https://www.econbiz.de/10009567851
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Hypothesis testing of multiple inequalities: the method of constraint chaining
Chen, Le-Yu; Szroeter, Jerzy - 2009
behavioural functions, monotonicity and dominance relations, one-sided constraints on conditional moments in GMM estimation … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We …
Persistent link: https://www.econbiz.de/10003847567
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Characterizations of identified sets delivered by structural econometric models
Chesher, Andrew; Rosen, Adam M. - 2015
This paper develops characterizations of identified sets of structures and structural features for complete and incomplete models involving continuous and/or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can...
Persistent link: https://www.econbiz.de/10011343000
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Quantile models with endogeneity
Chernozhukov, Victor; Hansen, Christian Bailey - 2013
In this article, we review quantile models with endogeneity. We focus on models that achieve indentification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...
Persistent link: https://www.econbiz.de/10009747939
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Decentralization estimators for instrumental variable quantile regression models
Kaido, Hiroaki; Wüthrich, Kaspar - 2018
The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a flexible and …. Estimation, however, is computationally burdensome because the GMM objective function is non-smooth and non-convex. This paper … shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems, which …
Persistent link: https://www.econbiz.de/10011950639
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Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2017 - Current Version: December 21, 2017
High-dimensional linear models with endogenous variables play an increasingly important role in recent econometric literature. In this work we allow for models with many endogenous variables and many instrument variables to achieve identification. Because of the high-dimensionality in the second...
Persistent link: https://www.econbiz.de/10011775296