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Treatment effects in sample selection models and their nonparametric estimation

Lee, Myoung-jae - In: Journal of Econometrics 167 (2012) 2, pp. 317-329

usual matching methods. First, there is no need to select the number of matched observations. Second, the asymptotic … that takes into account the ‘non-overlapping support problem’, which the usual matching deals with by choosing a ‘caliper … to compare the proposed methods with matching methods, and a real data illustration is provided. …

Persistent link: https://www.econbiz.de/10011052193

The method of simulated quantiles

Dominicy, Yves; Veredas, David - In: Journal of Econometrics 172 (2013) 2, pp. 235-247

We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is …

Persistent link: https://www.econbiz.de/10011052218

Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes

Chabé-Ferret, Sylvain - In: Journal of Econometrics 185 (2015) 1, pp. 110-123

Matching and Difference in Difference (DID) are two widespread methods that use pre-treatment outcomes to correct for … values. I find that Matching generally underestimates the average causal effect of the program and gets closer to the true … still performs better than Matching, especially in the middle of the life-cycle. These results are consistent with estimates …

Persistent link: https://www.econbiz.de/10011190717

Consistent estimation with many moment inequalities

Menzel, Konrad - In: Journal of Econometrics 182 (2014) 2, pp. 329-350

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV...

Persistent link: https://www.econbiz.de/10010906795

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

Hou, Jie; Perron, Pierre - In: Journal of Econometrics 182 (2014) 2, pp. 309-328

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include...

Persistent link: https://www.econbiz.de/10010906797

Semiparametric identification of binary decision games of incomplete information with correlated private signals

Wan, Yuanyuan; Xu, Haiqing - In: Journal of Econometrics 182 (2014) 2, pp. 235-246

This paper studies the identification and estimation of a static binary decision game of incomplete information. We make no parametric assumptions on the joint distribution of private signals and allow them to be correlated. We show that the parameters of interest can be point-identified subject...

Persistent link: https://www.econbiz.de/10010906798

Revealed preference tests for weak separability: An integer programming approach

Cherchye, Laurens; Demuynck, Thomas; De Rock, Bram; … - In: Journal of Econometrics 186 (2015) 1, pp. 129-141

We present the revealed preference conditions that characterize the data sets that are consistent with the maximization of a weakly separable utility function. We show that verifying these revealed preference conditions is np-hard. We also present an integer programming approach, which is...

Persistent link: https://www.econbiz.de/10011209280

Specification test for panel data models with interactive fixed effects

Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of Econometrics 186 (2015) 1, pp. 222-244

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null...

Persistent link: https://www.econbiz.de/10011209285

Empirical likelihood for regression discontinuity design

Otsu, Taisuke; Xu, Ke-Li; Matsushita, Yukitoshi - In: Journal of Econometrics 186 (2015) 1, pp. 94-112

This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...

Persistent link: https://www.econbiz.de/10011209288

Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach

Chen, Bin; Song, Zhaogang - In: Journal of Econometrics 173 (2013) 1, pp. 83-107

We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a...

Persistent link: https://www.econbiz.de/10010608470

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