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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
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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
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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
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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
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Inference on Optimal Treatment Assignments
Armstrong, Timothy - 2013
We consider inference on optimal treatment assignments. Our methods are the first to 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...
Persistent link: https://www.econbiz.de/10013072893
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Unit Roots in Life and Research
Phillips, Peter C. B. - 2017
Prominent among the many contributions that economics has made to humanity are the ones we witness daily in the normal operations of our national economies and our Financial systems. Less prominent is the work in econometrics that is largely done in universities developing theories and...
Persistent link: https://www.econbiz.de/10012952406
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On the Choice of Test Statistic for Conditional Moment Inequalities
Armstrong, Timothy - 2017
This paper derives asymptotic approximations to the power of 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)...
Persistent link: https://www.econbiz.de/10012952630
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Identification- and Singularity-Robust Inference for Moment Condition Models
Andrews, Donald W. K. - 2018
-CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi-strong identification (for all k ≥ p; where …-CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi-strong identification …
Persistent link: https://www.econbiz.de/10012909479
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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
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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