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Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Chen, Xiaohong - 2016

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

Persistent link: https://www.econbiz.de/10012996695

On Rate Optimality for Ill-Posed Inverse Problems in Econometrics

Chen, Xiaohong - 2008

In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error...

Persistent link: https://www.econbiz.de/10012773378

Exact Distribution Theory in Structural Estimation with an Identity

Phillips, Peter C. B. - 2007

Some exact distribution theory is developed for structural equation models with and without identities. The theory includes LIML, IV and OLS. We relate the new results to earlier studies in the literature, including the pioneering work of Bergstrom (1962). General IV exact distribution formulae...

Persistent link: https://www.econbiz.de/10012776774

Rank Tests for Instrumental Variables Regression with Weak Instruments

Andrews, Donald W. K.; Soares, Gustavo - 2006

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

Persistent link: https://www.econbiz.de/10014059052

Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification

Andrews, Donald W. K. - 2019

Standard tests and conﬁdence sets in the moment inequality literature are not robust to model misspeciﬁcation in the sense that they exhibit spurious precision when the identiﬁed set is empty. This paper introduces tests and conﬁdence sets that provide correct asymptotic inference for a...

Persistent link: https://www.econbiz.de/10012861472

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2019

-CQLR test is shown to be asymptotically eﬀicient in a GMM sense under strong and semi-strong identiﬁcation (for all k≥p, where k … shown to be asymptotically eﬀicient in a GMM sense under strong and semi-strong identiﬁcation …

Persistent link: https://www.econbiz.de/10012889240

Sensitivity Analysis using Approximate Moment Condition Models

Armstrong, Timothy - 2019

(CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard … order to optimize performance under potential misspeciﬁcation, the weighting matrix for this GMM estimator takes into … the near-optimality of these CIs, we develop asymptotic eﬀiciency bounds for inference in the locally misspeciﬁed GMM …

Persistent link: https://www.econbiz.de/10012892420

Sensitivity Analysis using Approximate Moment Condition Models

Armstrong, Timothy - 2019

Persistent link: https://www.econbiz.de/10012895664

On the Choice of Test Statistic for Conditional Moment Inequalities

Armstrong, Timothy - 2016

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these...

Persistent link: https://www.econbiz.de/10012978182

Inference on Optimal Treatment Assignments

Armstrong, Timothy - 2015

We consider inference on optimal treatment assignments. Our methods allow for inference on the treatment assignment rule that would be optimal given knowledge of the population treatment effect in a general setting. The procedure uses multiple hypothesis testing methods to determine a subset of...

Persistent link: https://www.econbiz.de/10013024644