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Layered policy analysis program evaluation using the marginal treatment effect
Mourifié, Ismael; Wan, Yuanyuan - 2021 - This version: Sunday 4th April, 2021
instrumental variables (IVs) are potentially invalid. Using a Vine Copula approach, we propose a novel characterization of the …
Persistent link: https://www.econbiz.de/10012508661
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Improving estimates of monotone functions by rearrangement
Chernozhukov, Victor (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003454063
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Recovering latent variables by matching
Arellano, Manuel; Bonhomme, Stéphane - 2020
We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched...
Persistent link: https://www.econbiz.de/10012152500
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Quantile selection models : with an application to understanding changes in wage inequality
Arellano, Manuel; Bonhomme, Stéphane - 2015
cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation … decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the …
Persistent link: https://www.econbiz.de/10011405705
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136
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Exact and robust conformal inference methods for predictive machine learning with dependent data
Chernozhukov, Victor; Wüthrich, Kaspar; Zhu, Yinchu - 2018
We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact,...
Persistent link: https://www.econbiz.de/10011804937
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Copula-based nonlinear quantile autoregression
Chen, Xiaohong (contributor); Koenker, Roger (contributor);  … - 2008
-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global …-at-risk for financial time series data. -- Quantile autoregression ; Copula ; Ergodic nonlinear Markov data …
Persistent link: https://www.econbiz.de/10003765985
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …
Persistent link: https://www.econbiz.de/10003817253