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Nonlinear factor models for network and panel data
Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2018
. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …
Persistent link: https://www.econbiz.de/10011871311
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Nonlinear factor models for network and panel data
Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2019
. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …
Persistent link: https://www.econbiz.de/10011997314
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Bias and consistency in three-way gravity models
Weidner, Martin; Zylkin, Thomas - 2021
We study the incidental parameter problem for the "three-way" Poisson Pseudo-Maximum Likelihood ("PPML") estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite the number and variety of fixed effects involved, we confirm...
Persistent link: https://www.econbiz.de/10012482900
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Bias and consistency in three-way gravity models
Weidner, Martin; Zylkin, Thomas - 2020
We study the incidental parameter problem in "three-way" Poisson Pseudo-Maximum Likelihood "PPML" gravity models recently recommended for identifying the effects of trade policies. Despite the number and variety of fixed effects this model entails, we confirm it is consistent for small T and we...
Persistent link: https://www.econbiz.de/10012152495
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Inference on a distribution from noisy draws
Jochmans, Koen; Weidner, Martin - 2021
for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …
Persistent link: https://www.econbiz.de/10012792731
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Censored quantile regression survival models with a cure proportion
Narisetty, Naveen; Koenker, Roger - 2019
proposals for quantile regression estimation of censored survival models, we propose a new "data augmentation" approach to … estimation. Our approach has computational advantages over earlier approaches proposed by Wu and Yin (2013, 2017). We compare our … method with the two estimation strategies proposed by Wu and Yin and demonstrate its advantageous empirical performance in …
Persistent link: https://www.econbiz.de/10012115872
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An adversarial approach to structural estimation
Kaji, Tetsuya; Manresa, Elena; Pouliot, Guillaume - 2020
We propose a new simulation-based estimation method, adversarial estimation, for structural models. The estimator is …
Persistent link: https://www.econbiz.de/10012251911
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Testing multivariate economic restrictions using quantiles : the example of Slutsky negative semidefiniteness
Dette, Holger; Hoderlein, Stefan; Neumeyer, Natalie - 2011
This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a...
Persistent link: https://www.econbiz.de/10009008722
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The influence function of semiparametric estimators
Ichimura, Hidehiko; Newey, Whitney K. - 2021
There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...
Persistent link: https://www.econbiz.de/10012595627
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Estimation with many instrumental variables
Hansen, Christian Bailey (contributor);  … - 2006 - Rev.
Persistent link: https://www.econbiz.de/10003375927