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A simple bootstrap method for constructing nonparametric confidence bands for functions

Hall, Peter; Horowitz, Joel - 2012

Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias … overcome this problem it is common practice to either undersmooth, so as to reduce the impact of bias, or oversmooth, and … thereby introduce an explicit or implicit bias estimator. However, these approaches, and others based on nonstandard smoothing …

Persistent link: https://www.econbiz.de/10009554351

A critical value function approach, with an application to persistent time-series

Moreira, Marcelo J.; Mourão, Rafael; Moreira, Humberto - 2016

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...

Persistent link: https://www.econbiz.de/10011485576

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: September 10, 2015

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

Persistent link: https://www.econbiz.de/10011525823

Posterior distribution of nondifferentiable functions

Kitagawa, Toru; Montiel-Olea, Jose-Luis; Payne, Jonathan - 2016

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(theta), where is a finite dimensional parameter. The main assumption is that the distribution of the maximum likelihood estimator theta_n, its bootstrap approximation, and the...

Persistent link: https://www.econbiz.de/10011459005

A bootstrap method for constructing pointwise and uniform confidence bands for conditional quantile functions

Horowitz, Joel; Krishnamurthy, Anand - 2017

model. Any method for constructing a confidence interval or band for this function must deal with the asymptotic bias of … undersmoothing or explicit bias correction. The latter usually requires oversmoothing. However, there are no satisfactory empirical …

Persistent link: https://www.econbiz.de/10011581535

Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation

Chen, Xiaohong; Christensen, Timothy - 2015 - Rev. March 31, 2015

This paper makes several contributions to the literature on the important yet difficult problem of estimating functions nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric instrumental variables (NPIV) estimation of...

Persistent link: https://www.econbiz.de/10011286502

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014 - This version: December 16, 2014

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

Persistent link: https://www.econbiz.de/10010459258

Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models

Parente, Paulo M. D. C.; Smith, Richard J. - 2019 - This Draft: October 2019

This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of dynamic models with stationary strong mixing data. The method first kernel weights the components comprising the quasi-log likelihood function in an appropriate way and then samples...

Persistent link: https://www.econbiz.de/10012115888

Posterior distribution of nondifferentiable functions

Kitagawa, Toru; Olea, Jose Luis Montiel; Payne, Jonathan - 2017

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(theta), where theta is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator theta_n,...

Persistent link: https://www.econbiz.de/10011758319

Global estimation of finite mixture and misclassification models with an application to multiple equilibria

Hu, Yingyao; Xiao, Ruli - 2018

We show that the identification results of finite mixture and misclassification models are equivalent in a widely-used scenario except an extra ordering assumption. In the misclassification model, an ordering condition is imposed to pin down the precise values of the latent variable, which are...

Persistent link: https://www.econbiz.de/10011852530

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