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Inference using simulated neural moments

Creel, Michael D. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-15

Creel (2017). When MSM-MCMC estimation and inference is based on such moments, and using a continuously updating criteria …

Persistent link: https://www.econbiz.de/10012642418

Estimating treatment effects using observational data and experimental data with non-overlapping support

Han, Kevin; Wu, Han; Wu, Linjia; Shi, Yu; Liu, Canyao - In: Econometrics : open access journal 12 (2024) 3, pp. 1-11

When estimating treatment effects, the gold standard is to conduct a randomized experiment and then contrast outcomes associated with the treatment group and the control group. However, in many cases, randomized experiments are either conducted with a much smaller scale compared to the size of...

Persistent link: https://www.econbiz.de/10015133929

On the interpretation of instrumental variables in the presence of specification errors : a causal comment

Raunig, Burkhard - In: Econometrics : open access journal 5 (2017) 3, pp. 1-6

Swamy et al. (2015) argue that valid instruments cannot exist when a structural model is misspecified. This note shows that this is not true in general. In simple examples valid instruments can exist and can help to estimate parameters of interest.

Persistent link: https://www.econbiz.de/10011711090

An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

Persistent link: https://www.econbiz.de/10012805047

A new estimator for standard errors with few unbalanced clusters

Niccodemi, Gianmaria; Wansbeek, Tom - In: Econometrics : open access journal 10 (2022) 1, pp. 1-7

In linear regression analysis, the estimator of the variance of the estimator of the regression coefficients should take into account the clustered nature of the data, if present, since using the standard textbook formula will in that case lead to a severe downward bias in the standard errors....

Persistent link: https://www.econbiz.de/10012805054

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012295878

Sensitivity analysis of an ols multiple regression inference with respect to possible linear endogeneity in the explanatory variables, for both modest and for extremely large samples

Ashley, Richard A.; Parmeter, Christopher F. - In: Econometrics : open access journal 8 (2020) 1/11, pp. 1-24

This work describes a versatile and readily-deployable sensitivity analysis of an ordinary least squares (OLS) inference with respect to possible endogeneity in the explanatory variables of the usual k-variate linear multiple regression model. This sensitivity analysis is based on a derivation...

Persistent link: https://www.econbiz.de/10012265401

Simultaneous indirect inference, impulse responses and ARMA models

Khalaf, Lynda; Peraza López, Beatriz - In: Econometrics : open access journal 8 (2020) 2/12, pp. 1-26

A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions are treated as test statistics, which are inverted...

Persistent link: https://www.econbiz.de/10012265597

Indirect inference : which moments to match?

Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the … matching” and “parameter matching” versions of indirect inference in this context and devise efficient estimation strategies in … estimators would be inefficient. In this general context, we demonstrate that efficient indirect inference estimation actually …

Persistent link: https://www.econbiz.de/10012025566

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression …-Hsiao (AH) IV procedure. It is well known that the AH IV estimation suffers from weak instrumentation when p is near unity. But … it is not so well known that AH IV estimation is still consistent when p = 1. In fact, the AH estimating equation is very …

Persistent link: https://www.econbiz.de/10012160749