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Econometrics with partial identification
Molinari, Francesca - 2019
Econometrics has traditionally revolved around point identi cation. Much effort has been devoted to finding the weakest … early 1990s, gaining momentum over time and developing into a widely researched area of econometrics. Partial identification … set as the parameters' sharp identifi cation region. Econometrics with partial identi fication is concerned with: (1 …
Persistent link: https://www.econbiz.de/10012011565
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2018
We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to...
Persistent link: https://www.econbiz.de/10011912653
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Identification of causal models with unobservables : a self-report approach
Hu, Yingyao - 2021
This paper presents a novel self-report approach to identify a general causal model with an unobserved covariate, which can be unobserved heterogeneity or an unobserved choice variable. It shows that a carefully designed noninvasive survey procedure can provide enough information to identify the...
Persistent link: https://www.econbiz.de/10012595615
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Impossible inference in econometrics : theory and applications
Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...
Persistent link: https://www.econbiz.de/10011958082
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Bootstrap methods in econometrics
Horowitz, Joel - 2018
econometrics. The presentation is informal and expository. It provides an intuitive understanding of how the bootstrap works …
Persistent link: https://www.econbiz.de/10011901480
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Sieve inference on semi-nonparametric time series models
Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - 2012
The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...
Persistent link: https://www.econbiz.de/10009504597
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Non-parametric transformation regression with non-stationary data
Linton, Oliver; Wang, Qiying - 2013
We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.
Persistent link: https://www.econbiz.de/10009734305
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A flexible semiparametric model for time series
Li, Degui; Linton, Oliver; Lu, Zu-di - 2012
We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...
Persistent link: https://www.econbiz.de/10009620324
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...
Persistent link: https://www.econbiz.de/10009719116
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A critical value function approach, with an application to persistent time-series
Moreira, Marcelo J.; Mourão, Rafael; Moreira, Humberto - 2016
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...
Persistent link: https://www.econbiz.de/10011485576