This paper illustrates that the generalized propensity score method can easily be applied with multiple continuous endogenous treatment variables. Consistency proofs carry over straightforwardly to this general case, and the approach is shown to work well in finite samples with various...

This paper shows the inconsistency of three forms of 2SLS estimators to illustrate the specialty of the endogeneity problem in threshold regression.

This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The quantile coupling allows one to apply the standard Gaussian-based estimation and inference to the transformed data set. The resulting estimator is asymptotically normal with a...

Limited evidence suggests that Daylight Saving Time (DST) shifts have a substantial influence on the risk of acute myocardial infarction (AMI). Previous literature, however, lack proper identification necessary to vouch for causal interpretation. We exploit Daylight Saving Time shift using...

This paper considers a factor-augmented regression model in the presence of structural change. We propose a two-step procedure to estimate the coefficients of explanatory variables. We show that when the number of units (N) and the number of periods (T) are large and comparable, the proposed...

This note proposes a computationally simple estimator for quantile regression in a linear model context, as an alternative to Koenker and Bassett’s (1978) algorithm. The new estimator can remedy several drawbacks associated with Powell’s (1986) censored quantile regression estimator.

This work considers the estimation of a network model with sampled networks. Chandrasekhar and Lewis (2011) show that the estimation with sampled networks could be biased due to measurement error induced by sampling and propose a bias correction by restricting the estimation to sampled nodes to...

We suggest to use car sale prices from internet advertisements for measuring economic inequality between and within German regions. Our estimates of regional income levels and Gini indices based on advertisements are highly positively correlated with the official figures.

This paper extends previous results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator.

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.