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Frequentist inference in weakly identified dynamic stochastic general equilibrium models

Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - In: Quantitative Economics 4 (2013) 2, pp. 197-229

Persistent link: https://www.econbiz.de/10011599639

The empirical content of games with bounded regressors

Kline, Brendan - In: Quantitative Economics 7 (2016) 1, pp. 37-81

This paper develops a strategy for identification and estimation of complete information games that does not require a … regressor that has large support or a parametric specification for the distribution of the unobservables. The identification … converge at slower than the parametric rate. An intermediate result concerns identification and estimation of the direction of …

Persistent link: https://www.econbiz.de/10011599694

Testing for fundamental vector moving average representations

Chen, Bin; Choi, Jinho; Escanciano, Juan Carlos - In: Quantitative Economics 8 (2017) 1, pp. 149-180

does not require the specification and estimation of the economic agent's information flows or the identification and …

Persistent link: https://www.econbiz.de/10011995485

Latent indices in assortative matching models

Diamond, William; Agarwal, Nikhil - In: Quantitative Economics 8 (2017) 3, pp. 685-728

due to the presence of unobserved characteristics. This paper studies the identification and estimation of such models. We …

Persistent link: https://www.econbiz.de/10011995501

A note on identification of discrete choice models for bundles and binary games

Fox, Jeremy T.; Lazzati, Natalia - In: Quantitative Economics 8 (2017) 3, pp. 1021-1036

We study nonparametric identification of single-agent discrete choice models for bundles (without requiring bundle …-specific prices) and of binary games of complete information. We show that these two models are quite similar from an identification …

Persistent link: https://www.econbiz.de/10011995509

An empirical model of non-equilibrium behavior in games

Kline, Brendan - In: Quantitative Economics 9 (2018) 1, pp. 141-181

This paper studies the identification and estimation of the decision rules that in- dividuals use to determine their … for point identification of the model. Then the model is estimated on data from an experiment involving two …

Persistent link: https://www.econbiz.de/10011995514

Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models

Komarova, Tatiana; Sanches, Fabio; Junior, Daniel Silva; … - In: Quantitative Economics 9 (2018) 3, pp. 1153-1194

known the payoff function cannot be nonparametrically identified without any a priori restrictions. Our identification of … identification strategies are constructive. They lead to easy to compute estimands that are global solutions. We illustrate with a …

Persistent link: https://www.econbiz.de/10012215355

Estimation and inference with a (nearly) singular Jacobian

Han, Sukjin; McCloskey, Adam - In: Quantitative Economics 10 (2019) 3, pp. 1019-1068

identification failure when the source of this identification failure is known. We examine models that may have a general deficient … rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes … underidentified and the identification status of individual parameters is not generally straightforward to characterize. We provide a …

Persistent link: https://www.econbiz.de/10012215392

HIP, RIP, and the robustness of empirical earnings processes

Hoffmann, Florian - In: Quantitative Economics 10 (2019) 3, pp. 1279-1315

The dispersion of individual returns to experience, often referred to as heterogeneity of income profiles (HIP), is a key parameter in empirical human capital models, in studies of life-cycle income inequality, and in heterogeneous agent models of life-cycle labor market dynamics. It is commonly...

Persistent link: https://www.econbiz.de/10012215398

Identification- and singularity-robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative Economics 10 (2019) 4, pp. 1703-1746

This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test … and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment … functions. The SR-CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi-strong identification …

Persistent link: https://www.econbiz.de/10012215408