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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

Bias corrections for two-step fixed effects panel data estimators

Fernández-Val, Iván (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428365

Multiscale clustering of nonparametric regression curves

Vogt, Michael; Linton, Oliver - 2018

We study a longitudinal data model with nonparametric regression functions that may vary across the observed subjects. In a wide range of applications, it is natural to assume that not every subject has a completely different regression function. We may rather suppose that the observed subjects...

Persistent link: https://www.econbiz.de/10011775203

Inference after discretizing unobserved heterogeneity

Beyhum, Jad; Mugnier, Martin - 2024

straightforward two-step estimation procedure inspired by existing discretization approaches. In the first step, we construct a …

Persistent link: https://www.econbiz.de/10015168551

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

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

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

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

Estimation with many instrumental variables

Hansen, Christian Bailey (contributor); … - 2006 - Rev.

Persistent link: https://www.econbiz.de/10003375927

Beta-sorted portfolios

Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …

Persistent link: https://www.econbiz.de/10014330367