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Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...
Persistent link: https://www.econbiz.de/10009747952
accordance with current beliefs). Simulation results show how the estimated nonparametric learning rules fit aspects of subjects …
Persistent link: https://www.econbiz.de/10003989987
proposal, using a data set previously analyzed by Lee (2008), as well as a small simulation study based on the Lee data set …
Persistent link: https://www.econbiz.de/10003942205
are easy to compute, should be used in applications to avoid severe undercoverage caused by the simulation error. …
Persistent link: https://www.econbiz.de/10009580802
Persistent link: https://www.econbiz.de/10001835951
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variance of the measurement errors is a fraction of that of the mismeasured variables, which is typical for empirical...
Persistent link: https://www.econbiz.de/10013041400
We propose a new simulation-based estimation method, adversarial estimation, for structural models. The estimator is …
Persistent link: https://www.econbiz.de/10012251911
on sample moments in an irregular manner. Due to this feature, simulation errors can affect the performance of inference … in non-standard ways. In particular, a (first-order) bias due to the simulation errors may remain in the estimated … boundary of the confidence set. We demonstrate, through Monte Carlo experiments, that simulation errors can significantly …
Persistent link: https://www.econbiz.de/10011815447
Currently there is little practical advice on which treatment effect estimator to use when trying to adjust for observable differences. A recent suggestion is to compare the performance of estimators in simulations that somehow mimic the empirical context. Two ways to run such "empirical Monte...
Persistent link: https://www.econbiz.de/10011912535
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...
Persistent link: https://www.econbiz.de/10014312055