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This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are able to impose monotonicity of the estimated function....
Persistent link: https://www.econbiz.de/10011758353
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OLS estimator in a rank-rank regression. We show that the probability limits of these estimators may be too large or too …
Persistent link: https://www.econbiz.de/10014416045
random variable Y is median uncorrelated with a k-dimensional random vector X if and only if the slope from an LAD regression …
Persistent link: https://www.econbiz.de/10008660608
This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we … unobservable. To analyze the economic restriction, we employ quantile regression methods because they allow us to utilize the … Regression …
Persistent link: https://www.econbiz.de/10009008722
This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is … component functions in additive quantile regression models. -- Bahadur representation ; Censored data ; Kernel smoothing … ; Quantile regression ; Semiparametric models …
Persistent link: https://www.econbiz.de/10009375692
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...
Persistent link: https://www.econbiz.de/10010254852
This paper considers inference in logistic regression models with high dimensional data. We propose new methods for … estimating and constructing confidence regions for a regression parameter of primary interest α0, a parameter in front of the … regression function, where s is smaller than n. Importantly, the estimators and these resulting confidence regions are "honest …
Persistent link: https://www.econbiz.de/10010226493
We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse least absolute … deviation/median regression model. The setting is one where the number of regressors p could be large in comparison to the … sample size n, but only s << n of them are needed to accurately describe the regression function. Our new methods are based …
Persistent link: https://www.econbiz.de/10010227487