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Inference on Optimal Treatment Assignments

Armstrong, Timothy B.; Shen, Shu - Cowles Foundation for Research in Economics, Yale University - 2013

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/10011249364

Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process

Lieberman, Offer; Rousseau, Judith; Zucker, David M. - Cowles Foundation for Research in Economics, Yale University - 2002

We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the … Durbin's (1980) general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood … distribution of the log-likelihood derivatives; (iii) appeal to and extension of arguments of Bhattacharya and Ghosh (1978) to …

Persistent link: https://www.econbiz.de/10005087373

Asymptotic Theory for Multivariate GARCH Processes

Comte, F.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001

-maximum likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau [19] in conjunction with a result given …

Persistent link: https://www.econbiz.de/10005087376

Robustness, Infinitesimal Neighborhoods, and Moment Restrictions

Kitamura, Yuichi; Otsu, Taisuke; Evdokimov, Kirill - Cowles Foundation for Research in Economics, Yale University - 2009

This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free, therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal...

Persistent link: https://www.econbiz.de/10004963477

Cross-section Regression with Common Shocks

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

Persistent link: https://www.econbiz.de/10005762510

Challenges of Trending Time Series Econometrics

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

We discuss some challenges presented by trending data in time series econometrics. To the empirical economist there is little guidance from theory about the source of trend behavior and even less guidance about practical formulations. Moreover, recent proximity theorems reveal that trends are...

Persistent link: https://www.econbiz.de/10005762691

Predicting Electoral College Victory Probabilities from State Probability Data

Fair, Ray C. - Cowles Foundation for Research in Economics, Yale University - 2004

A method is proposed in this paper for predicting Electoral College victory probabilities from state probability data. A "ranking" assumption about dependencies across states is made that greatly simplifies the analysis. The method issued to analyze state probability data from the Intrade...

Persistent link: https://www.econbiz.de/10005762789

Interpreting the Predictive Uncertainty of Elections

Fair, Ray C. - Cowles Foundation for Research in Economics, Yale University - 2006

This paper provides an interpretation of the uncertainty that exists at the beginning of the day of an election as to who will win. It is based on the theory that there are a number of possible conditions of nature that can exist on election day, of which one is drawn. Political betting markets...

Persistent link: https://www.econbiz.de/10005463970

Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001

-memory processes. Our estimator removes the first order bias of the maximum likelihood estimator. A small simulation study reveals the …

Persistent link: https://www.econbiz.de/10005593251

Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series

Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002

In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood … the maximum likelihood estimator for stationary long-memory Gaussian models. For a significant class of models, their …

Persistent link: https://www.econbiz.de/10005593482