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Bootstrap Tests for the Effect of a Treatment on the Distribution of an Outcome Variable

Abadie, Alberto - 2021

bootstrap procedure is proposed to test distributional hypotheses, such as equality of distributions, first-order stochastic …

Persistent link: https://www.econbiz.de/10013238969

Bootstrap-Based Improvements for Inference with Clustered Errors

Cameron, A. Colin - 2007

-reject, however, with few (5-30) clusters. We investigate inference using cluster bootstrap-t procedures that provide asymptotic …

Persistent link: https://www.econbiz.de/10012775940

Forecast Evaluation of Small Nested Model Sets

Hubrich, Kirstin - 2010

models simultaneously rather than sequentially, and do not require reestimation of models as part of a bootstrap procedure …

Persistent link: https://www.econbiz.de/10012758057

On the Failure of the Bootstrap for Matching Estimators

Abadie, Alberto - 2010

methods for inference. However, no formal justification for the use of the bootstrap has been provided. Here we show that the … bootstrap is in general not valid, even in the simple case with a single continuous covariate when the estimator is root … neighbor matching, the standard conditions for the bootstrap are not satisfied, leading the bootstrap variance to diverge from …

Persistent link: https://www.econbiz.de/10012761283

A Causal Bootstrap

Imbens, Guido W. - 2018

The bootstrap, introduced by Efron (1982), has become a very popular method for estimating variances and constructing … bootstrap procedure that accounts for this uncertainty, and compare its properties to that of the classical bootstrap …

Persistent link: https://www.econbiz.de/10012914697

A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation

Ackerberg, Daniel A. - 2011

Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model...

Persistent link: https://www.econbiz.de/10013127757

Generalized Transform Analysis of Affine Processes and Applications in Finance

Chen, Hui - 2011

Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations. We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general...

Persistent link: https://www.econbiz.de/10013127979

Identification and Estimation in Discrete Choice Demand Models When Endogenous Variables Interact with the Error

Gandhi, Amit - 2011

We develop an estimator for the parameters of a utility function that has interactions between the unobserved demand error and observed factors including price. We show that the Berry (1994)/Berry, Levinsohn, and Pakes (1995) inversion and contraction can still be used to recover the mean...

Persistent link: https://www.econbiz.de/10013128265

A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables

Kim, Kyoo il - 2011

When the endogenous variable enters the structural equation non-parametrically the linear Instrumental Variable (IV) estimator is no longer consistent. Non-parametric IV (NPIV) can be used but it requires one to impose restrictions during estimation to make the problem well-posed. The...

Persistent link: https://www.econbiz.de/10013131512

Second-Order Approximation of Dynamic Models with Time-Varying Risk

Benigno, Gianluca - 2010

This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a...

Persistent link: https://www.econbiz.de/10013134864

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