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Using Matching, Instrumental Variables and Control Functions to Estimate Economic Choice Models
Heckman, James J.; Navarro-Lozano, Salvador - 2022
selection) in matching, instrumental variable and control functions methods. (2) It contrasts the roles of exclusion … restrictions in matching and selection models. (3) It characterizes the sensitivity of matching to the choice of conditioning …. (4) It demonstrates the problem of choosing the conditioning variables in matching and the failure of conventional model …
Persistent link: https://www.econbiz.de/10013311183
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Ait-Sahalia, Yacine - 2005
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We show that the optimal sampling frequency at which to estimate the...
Persistent link: https://www.econbiz.de/10012785227
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Use of Propensity Scores in Non-Linear Response Models : The Case for Health Care Expenditures
Basu, Anirban - 2010
Under the assumption of no unmeasured confounders, a large literature exists on methods that can be used to estimating average treatment effects (ATE) from observational data and that spans regression models, propensity score adjustments using stratification, weighting or regression and even the...
Persistent link: https://www.econbiz.de/10012759214
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Risk-Adjusted Gamma Discounting
Weitzman, Martin - 2010
It is widely recognized that the economics of distant-future events, like climate change, is critically dependent upon the choice of a discount rate. Unfortunately, it is unclear how to discount distant-future events when the future discount rate itself is unknown. In previous work, an...
Persistent link: https://www.econbiz.de/10013149706
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A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples
Heckman, James J. - 2010
The probability of selection into treatment plays an important role in matching and selection models. However, this … note establishes that the selection and matching procedures can be implemented using propensity scores fit on choice …
Persistent link: https://www.econbiz.de/10013152094
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Combining Matching and Synthetic Control to Trade Off Biases from Extrapolation and Interpolation
Kellogg, Maxwell - 2020
matching estimators exhibit the opposite behavior: they limit interpolation bias at the potential expense of extrapolation bias …. We propose combining the matching and synthetic control estimators through model averaging to create an estimator called … the SC, matching, MASC and penalized SC estimators do (and do not) perform well. Then, we use the MASC re-examine the …
Persistent link: https://www.econbiz.de/10012844744
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Matching Methods in Practice : Three Examples
Imbens, Guido W. - 2014
selection--on--observables type assumptions using matching or propensity score methods. Much of this literature is highly …
Persistent link: https://www.econbiz.de/10013057405
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Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
Nelson, Charles R. - 2010
New results on the exact small sample distribution of the instrumental variable estimator are presented by studying an important special case. The exact closed forms for the probability density and cumulative distribution functions are given. There are a number of surprising findings. The small...
Persistent link: https://www.econbiz.de/10012760034
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Split Sample Instrumental Variables
Angrist, Joshua D.; Krueger, Alan B. - 2021
Instrumental Variables (IV) estimates tend to be biased in the same direction as Ordinary Least Squares (OLS) in finite samples if the instruments are weak. To address this problem we propose a new IV estimator which we call Split Sample Instrumental Variables (SSIV). SSIV works as follows: we...
Persistent link: https://www.econbiz.de/10013225846
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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - 2021
We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...
Persistent link: https://www.econbiz.de/10013232709