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Robust Inference for Misspecified Models Conditional on Covariates

Abadie, Alberto - 2011

Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between...

Persistent link: https://www.econbiz.de/10013120210

Solution and Estimation Methods for DSGE Models

Fernández-Villaverde, Jesús - 2016

This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field

Persistent link: https://www.econbiz.de/10013001766

Using Instrumental Variables for Inference About Policy Relevant Treatment Effects

Mogstad, Magne - 2017

We propose a method for using instrumental variables (IV) to draw inference about causal effects for individuals other than those affected by the instrument at hand. Policy relevance and external validity turns on the ability to do this reliably. Our method exploits the insight that both the IV...

Persistent link: https://www.econbiz.de/10012951893

Bayesian and Frequentist Inference in Partially Identified Models

Moon, Hyungsik Roger - 2015

A large sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by a finite-dimensional reduced form parameter vector. It is used to analyze the differences between frequentist confidence sets and Bayesian...

Persistent link: https://www.econbiz.de/10012749798

In Praise of Confidence Intervals

Romer, David H. - 2021

Most empirical papers in economics focus on two aspects of their results: whether the estimates are statistically significantly different from zero and the interpretation of the point estimates. This focus obscures important information about the implications of the results for economically...

Persistent link: https://www.econbiz.de/10013315327

Mis-Classified, Binary, Endogenous Regressors : Identification and Inference

DiTraglia, Francis - 2017

This paper studies identification and inference for the effect of a mis-classified, binary, endogenous regressor when a discrete-valued instrumental variable is available. We begin by showing that the only existing point identification result for this model is incorrect. We go on to derive the...

Persistent link: https://www.econbiz.de/10012947652

Optimal Inference in Regression Models with Nearly Integrated Regressors

Jansson, Michael; Moreira, Marcelo J. - 2021

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper...

Persistent link: https://www.econbiz.de/10013230409

Inference with Weak Instruments

Stock, James H.; Andrews, Donald W. K. - 2021

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

Persistent link: https://www.econbiz.de/10013228759

Macroeconomics and Volatility : Data, Models, and Estimation

Fernández-Villaverde, Jesús - 2010

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

Persistent link: https://www.econbiz.de/10013135053

High- and Low-Frequency Exchange Rate Volatility Dynamics : Range-Based Estimation of Stochastic Volatility Models

Alizadeh, Sassan - 2001

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically …, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian …-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent …

Persistent link: https://www.econbiz.de/10012787785

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