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Identification and estimation of dynamic structural models with unobserved choices
Hu, Yingyao; Xin, Yi - 2020
choices are partially unavailable, and dynamic discrete games. We propose a sieve maximum likelihood estimator for primitives …
Persistent link: https://www.econbiz.de/10012271085
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Identification and estimation of dynamic structural models with unobserved choices
Hu, Yingyao; Xin, Yi - 2019
This paper develops identification and estimation methods for dynamic structural models when agents' actions are unobserved by econometricians. We provide conditions under which choice probabilities and latent state transition rules are nonparametrically identified with a continuous state...
Persistent link: https://www.econbiz.de/10012019994
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Adapting to misspecification
Armstrong, Timothy B.; Kline, Patrick; Sun, Liyang - 2024
parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they … can relax some of these assumptions to motivate a more robust, but variable, unrestricted estimator. When a bound on the … bias of the restricted estimator is available, it is optimal to shrink the unrestricted estimator towards the restricted …
Persistent link: https://www.econbiz.de/10015073234
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Using penalized likelihood to select parameters in a random coefficients multinomial logit model
Horowitz, Joel; Nesheim, Lars - 2019
The multinomial logit model with random coefficients is widely used in applied research. This paper is concerned with estimating a random coefficients logit model in which the distribution of each coefficient is characterized by finitely many parameters. Some of these parameters may be zero. The...
Persistent link: https://www.econbiz.de/10012109830
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Increasing the power of specification tests
Woutersen, Tiemen; Hausman, Jerry A. - 2018
covariance matrix. If the null hypothesis is true then the proposed test has the same distribution as the existing ones in large … size increases in several important applications, including testing for endogeneity in the linear model. …
Persistent link: https://www.econbiz.de/10011878190
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Inference on breakdown frontiers
Masteny, Matthew A.; Poirierz, Alexandre - 2017
A breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value (e.g., nonnegative) and second that the...
Persistent link: https://www.econbiz.de/10011645504
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The identification power of smoothness assumptions in models with counterfactual outcomes
Kim, Wooyoung; Kwon, Koohyun; Kwon, Soonwoo; Lee, Sokbae - 2014
In this paper, we investigate what can be learned about average counterfactual outcomes when it is assumed that treatment response functions are smooth. The smoothness conditions in this paper amount to assuming that the differences in average counterfactual outcomes are bounded under different...
Persistent link: https://www.econbiz.de/10010336471
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IV methods for Tobit models
Chesher, Andrew; Kim, Dongwoo; Rosen, Adam M. - 2021
This paper studies models of processes generating censored outcomes with endogenous explanatory variables and instrumental variable restrictions. Tobit-type left censoring at zero is the primary focus in the exposition. The models studied here are unrestrictive relative to others widely used in...
Persistent link: https://www.econbiz.de/10012581449
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Sensitivity to calibrated parameters
Jørgensen, Thomas H. - 2021
A common approach to estimation of dynamic economic models is to calibrate a sub-set of model parameters and keep them fixed when estimating the remaining parameters. Calibrated parameters likely affect conclusions based on the model but estimation time often makes a systematic investigation of...
Persistent link: https://www.econbiz.de/10012485059
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More on confidence intervals for partially identified parameters
Stoye, Jörg (contributor) - 2008
merely weaken the superefficiency condition and with assumptions that remove it altogether. Imbens and Manski’s confidence …
Persistent link: https://www.econbiz.de/10003739665