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Impact Evaluation of Multiple Overlapping Programs using Difference-in-differences with Matching
Nguyen Viet, Cuong - Volkswirtschaftliche Fakultät, … - 2008
Difference-in-differences with matching is a popular method in impact evaluation. Traditional impact evaluation methods … including difference-in-differences with matching often deal with impact measurement of a single binary program. Imbens (1999 …) and Lechner (2001) extend the matching method to the case of multiple mutually exclusive programs. Frölich (2002 …
Persistent link: https://www.econbiz.de/10008565091
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Analysis of dependencies in low frequency financial data sets
Ardia, David - Volkswirtschaftliche Fakultät, … - 2003
This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...
Persistent link: https://www.econbiz.de/10005837546
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Seasonal decomposition with a modified Hodrick-Prescott filter
Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010
I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS...
Persistent link: https://www.econbiz.de/10008540112
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Mean, Median or Mode? A Striking Conclusion From Lottery Experiments
Kontek, Krzysztof - Volkswirtschaftliche Fakultät, … - 2010
This paper deals with estimating data from experiments determining lottery certainty equivalents. The paper presents the parametric and nonparametric results of the least squares (mean), quantile (including median) and mode estimations. The examined data are found to be positively skewed for low...
Persistent link: https://www.econbiz.de/10008541487
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A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom
Atak, Alev; Linton, Oliver B.; Xiao, Zhijie - Volkswirtschaftliche Fakultät, … - 2010
This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other weather outcomes over the last century. We work with the monthly averaged maximum and minimum temperatures observed at the twenty six Meteorological Office stations. The data is...
Persistent link: https://www.econbiz.de/10008552815
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Impossibility Results for Nondifferentiable Functionals
Hirano, Keisuke; Porter, Jack - Volkswirtschaftliche Fakultät, … - 2009
We examine challenges to estimation and inference when the objects of interest are nondifferentiable functionals of the underlying data distribution. This situation arises in a number of applications of bounds analysis and moment inequality models, and in recent work on estimating optimal...
Persistent link: https://www.econbiz.de/10005034985
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Comment: The Identification Power of Equilibrium in Simple Games
Aguirregabiria, Victor - Volkswirtschaftliche Fakultät, … - 2008
This paper studies the identification of structural parameters in dynamic games when we replace the assumption of Markov Perfect Equilibrium (MPE) with weaker conditions such as rational behavior and rationalizability. The identification of players' time discount factors is of especial interest....
Persistent link: https://www.econbiz.de/10005034988
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A new distribution-based test of self-similarity
Bianchi, Sergio - Volkswirtschaftliche Fakultät, … - 2004
In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...
Persistent link: https://www.econbiz.de/10005037724
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Confidence sets for some partially identified parameters
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...
Persistent link: https://www.econbiz.de/10009652936
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Partial identification of the distribution of treatment effects and its confidence sets
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2009
In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....
Persistent link: https://www.econbiz.de/10009652944