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The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 29-61

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Persistent link: https://www.econbiz.de/10012807729

Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - In: Quantitative economics : QE ; journal of the … 9 (2018) 1, pp. 39-84

This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h 0 and functionals of h 0 .First,wederivesup-normconvergence rates for computationally simple sieve NPIV (series two-stage...

Persistent link: https://www.econbiz.de/10011884399

Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

Arai, Yoichi; Ichimura, Hidehiko - In: Quantitative economics : QE ; journal of the … 9 (2018) 1, pp. 441-482

A new bandwidth selection method that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity design estimator of the average treatment effect at the cut-off point. The asymptotic mean...

Persistent link: https://www.econbiz.de/10011884511

Estimating nonseparable models with mismeasured endogenous variables

Song, Suyong; Schennach, Susanne M.; White, Halbert - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 749-794

We study the identification and estimation of covariate-conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional...

Persistent link: https://www.econbiz.de/10011757766

Identification and estimation of semiparametric two-step models

Escanciano, Juan Carlos; Jacho-Chávez, David; Lewbel, … - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 561-589

Let H 0 (X) be a function that can be nonparametrically estimated. Suppose E [ Y | X ]= F 0 [ X ß 0 H 0 (X) ] . Many models fit this framework, including latent in- dex models with an endogenous regressor and nonlinear models with sample se- lection. We show that the vector ß 0 and unknown...

Persistent link: https://www.econbiz.de/10011800659

Measuring segregation on small units : a partial identification analysis

D'Haultfœuille, Xavier; Rathelot, Roland - In: Quantitative economics : QE ; journal of the … 8 (2017) 1, pp. 39-73

We consider the issue of measuring segregation in a population of small units, considering establishments in our application. Each establishment may have a different probability of hiring an individual from the minority group. We define segregation indices as inequality indices on these...

Persistent link: https://www.econbiz.de/10011800929

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...

Persistent link: https://www.econbiz.de/10012202234

A unified framework for efficient estimation of general treatment models

Ai, Chunrong; Linton, Oliver; Motegi, Kaiji; Zhang, Zheng - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 779-816

This paper presents a weighted optimization framework that unifies the binary, multivalued, and continuous treatment - as well as mixture of discrete and continuous treatment - under a unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile,...

Persistent link: https://www.econbiz.de/10012598504

Complementarity and aggregate implications of assortative matching : a nonparametric analysis

Graham, Bryan S.; Imbens, Guido; Ridder, Geert - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 29-66

another, potentially complementary, input fixed. We introduce a class of such reallocations - correlated matching rule - that … includes the status quo allocation, a random allocation, and both the perfect positive and negative assortative matching … pairwise stability concept used in the game theoretic literature on two-sided matching models with transfers. For estimation …

Persistent link: https://www.econbiz.de/10011757124

Top incomes, heavy tails, and rank-size regressions

Schluter, Christian - In: Econometrics 6 (2018) 1, pp. 1-16

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...

Persistent link: https://www.econbiz.de/10011995211

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