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GEL methods for nonsmooth moment indicators

Parente, Paulo (contributor); Smith, Richard J. (contributor) - 2008

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...

Persistent link: https://www.econbiz.de/10003739699

Omitted variable bias in machine learned causal models

Chernozhukov, Victor; Cinelli, Carlos; Newey, Whitney K.; … - 2021

We derive general, yet simple, sharp bounds on the size of the omitted variable bias for a broad class of causal … bound on the bias depends only on the additional variation that the latent variables create both in the outcome and in the … (in explaining treatment and outcome variation) are sufficient to place overall bounds on the size of the bias. Finally …

Persistent link: https://www.econbiz.de/10012800720

Locally- but not globally-identified SVAR

Bacchiocchi, Emanuele; Kitagawa, Toru - 2020 - This draft: 20 July 2020

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...

Persistent link: https://www.econbiz.de/10012251913

Likelihood inference and the role of initial conditions for the dynamic panel data model

Barbosa, Jose Diogo; Moreira, Marcelo J. - 2017 - This version: January 16, 2017

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...

Persistent link: https://www.econbiz.de/10011586178

A note on global identification in structural vector autoregressions

Bacchiocchi, Emanuele; Kitagawa, Toru - 2021 - This draft: 8 February 2021

In a landmark contribution to the structural vector autoregression (SVARs) literature, RubioRam'ırez, Waggoner, and Zha (2010, 'Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic Studies) shows a necessary and sufficient condition for...

Persistent link: https://www.econbiz.de/10012431646

More on confidence intervals for partially identified parameters

Stoye, Jörg (contributor) - 2008

This paper extends Imbens and Manski’s (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the...

Persistent link: https://www.econbiz.de/10003739665

Sharp identified sets for discrete variable IV models

Chesher, Andrew; Smolinski, Konrad - 2010

Instrumental variable models for discrete outcomes are set, not point, identifying. The paper characterises identi.ed sets of structural functions when endogenous variables are discrete. Identi.ed sets are unions of large numbers of convex sets and may not be convex nor even connected. Each of...

Persistent link: https://www.econbiz.de/10003989956

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012

In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on...

Persistent link: https://www.econbiz.de/10009492357

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012

In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) sets of admissible stochastic discount factors,...

Persistent link: https://www.econbiz.de/10009692023

What do instrumental variable models deliver with discrete dependent variables?

Chesher, Andrew; Rosen, Adam M. - 2013

We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...

Persistent link: https://www.econbiz.de/10009718426

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