Showing 1 - 10 of 482
of the local regression RD estimator as the criterion to guide polynomial order selection. We show in Monte Carlo …
Persistent link: https://www.econbiz.de/10012481619
Econometrica paper that developed what later became known as the Tobit estimator. This golden anniversary milestone provides a … modeling has played in empirical health economics. Of primary focus here is how Tobin's estimator came to be and came to take … root in empirical health economics. The paper provides a brief history of Tobin's estimator and related methods up through …
Persistent link: https://www.econbiz.de/10012464135
This paper uses the marginal treatment effect (MTE) to unify the nonparametric literature on treatment effects with the econometric literature on structural estimation using a nonparametric analog of a policy invariant parameter; to generate a variety of treatment effects from a common...
Persistent link: https://www.econbiz.de/10012467426
Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...
Persistent link: https://www.econbiz.de/10012473012
Researchers using instrumental variables to investigate ordered treatments often recode treatment into an indicator for any exposure. We investigate this estimand under the assumption that the instruments shift compliers from no treatment to some but not from some treatment to more. We show that...
Persistent link: https://www.econbiz.de/10014512088
investigate the performance of stacked DID estimators. We show that the most basic stacked estimator does not identify the target … bias can be eliminated using corrective sample weights. We present a weighted stacked DID estimator, and show that it … correctly identifies the target aggregate, providing justification for using the estimator in applied work …
Persistent link: https://www.econbiz.de/10014468254
encountered often in health and other applications. The paper's main motivation is that the applied econometrics literature lacks …
Persistent link: https://www.econbiz.de/10014421240
Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently been show that those regressions may produce misleading...
Persistent link: https://www.econbiz.de/10012814466
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is taken to be. By considering tests based on conditional...
Persistent link: https://www.econbiz.de/10012477997
In this paper we use an instrumental variable estimator to exploit sources of independent variation, which allows … unbiased estimation of the tax-price elasticity under more general conditions. The estimator is applied to the demand for …
Persistent link: https://www.econbiz.de/10012478117