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Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

Persistent link: https://www.econbiz.de/10003817253

A Bayesian mixed logit-probit model for multinomial choice

Burda, Martin (contributor); Harding, Matthew (contributor); … - 2008

In this paper we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumptionfree nonparametric density specification while other alternative-specific coefficients are assumed to...

Persistent link: https://www.econbiz.de/10003746887

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …

Persistent link: https://www.econbiz.de/10010469057

Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …

Persistent link: https://www.econbiz.de/10009719116

Quantile selection models : with an application to understanding changes in wage inequality

Arellano, Manuel; Bonhomme, Stéphane - 2015

We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing...

Persistent link: https://www.econbiz.de/10011405705

Nonparametric identification of positive eigenfunctions

Christensen, Timothy M. - 2014 - Rev. August 2014

Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models....

Persistent link: https://www.econbiz.de/10010403496

Adaptive nonparametric instrumental variables estimation : empirical choice of the regularisation parameter

Horowitz, Joel - 2012

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

Persistent link: https://www.econbiz.de/10009760143

Nonparametric stochastic discount factor decomposition

Christensen, Timothy - 2015

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

Persistent link: https://www.econbiz.de/10010532537

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - 2017 - Revised January 2017

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the...

Persistent link: https://www.econbiz.de/10011589040

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