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Posterior inference in curved exponential families under increasing dimensions
Belloni, Alexandre; Chernozhukov, Victor - 2013
restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …
Persistent link: https://www.econbiz.de/10010368205
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Posterior inference in curved exponential families under increasing dimensions
Belloni, Alexandre; Chernozhukov, Victor - 2013
restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …
Persistent link: https://www.econbiz.de/10010368239
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Testing multiple inequality hypotheses: A smoothed indicator approach
Chen, Le-Yu; Szroeter, Jerzy - 2012
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical...
Persistent link: https://www.econbiz.de/10010288318
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Hypothesis testing of multiple inequalities: The method of constraint chaining
Chen, Le-Yu; Szroeter, Jerzy - 2009
behavioural functions, monotonicity and dominance relations, one-sided constraints on conditional moments in GMM estimation … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We …
Persistent link: https://www.econbiz.de/10010288421
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Statistical inference on regression with spatial dependence
Robinson, Peter M.; Thawornkaiwong, Supachoke - 2011
regression models for spatial data. General forms of spatial dependenceand heterogeneity in explanatory variables and … spatial correlation in disturbances, and nonparametric regression fitting. Some final comments discuss modifications and …
Persistent link: https://www.econbiz.de/10010288343
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Inference in high dimensional panel models with an application to gun control
Belloni, Alexandre; Chernozhukov, Victor; Hansen, Christian - 2014
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...
Persistent link: https://www.econbiz.de/10011445705
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Arellano-Bond lasso estimator for dynamic linear panel models
Chernozhukov, Victor; Fernández-Val, Iván; Huang, Chen; … - 2024
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However, the estimator is severely biased when the data's time series dimension T is long due to the large degree of overidentification. We show that weak dependence along the panel's time...
Persistent link: https://www.econbiz.de/10014581834
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010368186
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GEL-based inference with unconditional moment inequality restrictions
Grant, Nicky L.; Smith, Richard J. - 2018
function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …
Persistent link: https://www.econbiz.de/10011941462
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Locally robust semiparametric estimation
Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018
We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …
Persistent link: https://www.econbiz.de/10011941476