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robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …
Persistent link: https://www.econbiz.de/10009719116
This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified well and which ones cannot. It contributes to answering this question by characterizing the identified set of linear continuous functionals of the NPIVR under norm constraints....
Persistent link: https://www.econbiz.de/10010188249
It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...
Persistent link: https://www.econbiz.de/10012813620
It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...
Persistent link: https://www.econbiz.de/10012500502
It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...
Persistent link: https://www.econbiz.de/10012180493
It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...
Persistent link: https://www.econbiz.de/10013500955
This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...
Persistent link: https://www.econbiz.de/10010469057
We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental health and educational progress. Our contribution is to use unique UK survey data that contains (potentially biased)...
Persistent link: https://www.econbiz.de/10009266733
This paper extends Imbens and Manski’s (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the...
Persistent link: https://www.econbiz.de/10003739665
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...
Persistent link: https://www.econbiz.de/10003739667