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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10003829113
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using …
Persistent link: https://www.econbiz.de/10003344606
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How to control for many covariates? : reliable estimators based on the propensity score
Huber, Martin; Lechner, Michael; Wunsch, Conny - 2010
We investigate the finite sample properties of a large number of estimators for the average treatment effect on the treated that are suitable when adjustment for observable covariates is required, like inverse probability weighting, kernel and other variants of matching, as well as different...
Persistent link: https://www.econbiz.de/10009154559
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Dependence measures in bivariate gamma frailty models
Berg, Gerard J. van den; Effraimidis, Georgios - 2014
distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …
Persistent link: https://www.econbiz.de/10010339585
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Canonical correlation and assortative matching : a remark
Dupuy, Arnaud; Galichon, Alfred - 2012
In the context of the Beckerian theory of marriage, when men and women match on a single-dimensional index that is the … weighted sum of their respective multivariate attributes, many papers in the literature have used linear canonical correlation … suggest some solutions. -- matching ; marriage ; assignment ; assortative matching ; canonical correlation …
Persistent link: https://www.econbiz.de/10009631441
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Stochastic complementarity
Manzini, Paola; Mariotti, Marco; Ülkü, Levent - 2018
The Hicksian definition of complementarity and substitutability may not apply in contexts in which agents are not utility maximisers or where price or income variations, whether implicit or explicit, are not available. We look for tools to identify complementarity and substitutability satisfying...
Persistent link: https://www.econbiz.de/10011795820
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Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10003907131
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …
Persistent link: https://www.econbiz.de/10003586562
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Identification and estimation of causal effects of multiple treatments under the conditional independence assumption
Lechner, Michael - 1999
The assumption that the assignment to treatments is ignorable conditional on attributes plays an important role in the applied statistic and econometric evaluation literature. Another term for it is conditional independence assumption. This paper discusses identification when there are more than...
Persistent link: https://www.econbiz.de/10011317474