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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

Altonji, Joseph G.; Otsu, Taisuke; Ichimura, Hidehiko - 2008

censored population. We then correct the derivative for the effects of the selection bias. We propose nonparametric and …

Persistent link: https://www.econbiz.de/10014216569

Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

Altonji, Joseph G. - 2011

censored population. We then correct the derivative for the effects of the selection bias. We discuss nonparametric and …

Persistent link: https://www.econbiz.de/10013125741

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series … were directly observed. These nice properties lead to simple and more accurate estimation of Value-at-Risk (VaR) for …

Persistent link: https://www.econbiz.de/10012857717

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications

Phillips, Peter C. B.; Xu, Ke-Li - 2010

This paper proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local level nonparametric regression applied to squared mean...

Persistent link: https://www.econbiz.de/10014049786

Behavioral Characterizations of Naiveté for Time-Inconsistent Preferences

Ahn, David S. - 2018

We propose nonparametric deﬁnitions of absolute and comparative naivete. These deﬁnitions leverage ex-ante choice of menu to identify predictions of future behavior and ex-post (random) choices from menus to identify actual behavior. The main advantage of our deﬁnitions is their...

Persistent link: https://www.econbiz.de/10012907429

Hyperbolic Discounting is Rational : Valuing the Far Future with Uncertain Discount Rates

Farmer, J. Doyne - 2009

Conventional economics supposes that agents value the present vs. the future using an exponential discounting function. In contrast, experiments with animals and humans suggest that agents are better described as hyperbolic discounters, whose discount function decays much more slowly at large...

Persistent link: https://www.econbiz.de/10013157111

Bias in Estimating Multivariate and Univariate Diffusions

Wang, Xiaohu - 2013

discretization bias and its relationship to estimation bias in both multivariate and in univariate settings. In the univariate … and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the … bias and variance for the Vasicek process. The bias and the variance of the Euler method are found to be smaller than the …

Persistent link: https://www.econbiz.de/10013093983

Sensitivity Analysis in Semiparametric Likelihood Models

Chen, Xiaohong; Tamer, Elie T.; Torgovitsky, Alexander - 2011

We provide methods for inference on a finite dimensional parameter of interest, theta in Re^{d_theta}, in a semiparametric probability model when an infinite dimensional nuisance parameter, g, is present. We depart from the semiparametric literature in that we do not require that the pair...

Persistent link: https://www.econbiz.de/10014175416

Nonparametric Estimation in Random Coefficients Binary Choice Models

Gautier, Eric; Kitamura, Yuichi - 2009

This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem characterized by an integral transform. A new density estimator for the random coefficients is developed,...

Persistent link: https://www.econbiz.de/10014204704

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

Chen, Xiaohong; Pouzo, Demian - 2009

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be … variables (IV) estimation, and a difficult nonlinear ill-posed inverse problem with an unknown operator. We first propose a … a simulation study and an empirical estimation of a system of nonparametric quantile IV Engel curves …

Persistent link: https://www.econbiz.de/10014218576