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Amengual, Dante; Bei, Xinye; Sentana, Enrique - 2021

We propose a multivariate normality test against skew normal distributions using higher-order loglikelihood derivatives which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient...

Persistent link: https://www.econbiz.de/10012544471

Nonparametric instrumental variable estimation

Wilhelm, Daniel; Chetverikov, Denis; Kim, Dongwoo - 2017

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

Estimation of nonparametric conditional moment models with possibly nonsmooth moments

Chen, Xiaohong (contributor); Pouzo, Demian (contributor) - 2008

coincide with the known minimax optimal rates for the nonparametric mean IV regression. We illustrate the theory by two … nonparametric nonlinear IV regression, and the convergence rate of a nonparametric additive quantile IV regression. We also present … nonparametric nonlinear IV regression ; nonparametric additive quantile IV regression …

Persistent link: https://www.econbiz.de/10003739667

Improving point and interval estimates of monotone functions by rearrangement

Chernozhukov, Victor (contributor); … - 2008

regression ; mean regression ; series ; locally linear ; kernel methods …

Persistent link: https://www.econbiz.de/10003739689

Copula-based nonlinear quantile autoregression

Chen, Xiaohong (contributor); Koenker, Roger (contributor); … - 2008

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...

Persistent link: https://www.econbiz.de/10003765985

Efficient estimation of the semiparametric spatial autoregressive model

Robinson, Peter M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003332165

Nonparametric instrumental variables estimation of a quantile regression model

Horowitz, Joel (contributor); Lee, Sokbae (contributor) - 2006

Persistent link: https://www.econbiz.de/10003332176

Inference on counterfactual distributions

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2009

In this paper we develop procedures for performing inference in regression models about how potential policy … on, and our theory covers, all main regression approaches for modeling and estimating conditional distributions, focusing … institutions on the U.S. wage distribution. -- Policy effects ; counterfactual distribution ; quantile regression ; duration …

Persistent link: https://www.econbiz.de/10003838972

L1-Penalised quantile regression in high-dimensional sparse models

Belloni, Alexandre; Chernozhukov, Victor - 2009

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these … case the ordinary quantile regression is not consistent, we consider quantile regression penalized by the L1-norm of … that applies ordinary quantile regression to the selected model. Fifth, we evaluate the performance of L1-QR in a Monte …

Persistent link: https://www.econbiz.de/10003838974

Set identification with Tobin regressors

Chernozhukov, Victor; Rigobón, Roberto; Stoker, Thomas … - 2009

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected, called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...

Persistent link: https://www.econbiz.de/10003838979

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