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Earnings and consumption dynamics: A nonlinear panel data framework
Arellano, Manuel; Blundell, Richard; Bonhomme, Stéphane - 2015
We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...
Persistent link: https://www.econbiz.de/10011445768
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Recovering latent variables by matching
Arellano, Manuel; Bonhomme, Stéphane - 2020
We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model's predictions and their matched...
Persistent link: https://www.econbiz.de/10012621079
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2020
We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model,...
Persistent link: https://www.econbiz.de/10012621114
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2020
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are … moments of individual fixed-effects, average partial effects in discrete choice models, and counterfactual simulations in … show that PAE have minimum worst-case bias under local misspecification of the parametric distribution of unobservables …
Persistent link: https://www.econbiz.de/10012621126
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2021
Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments …-case specification error under various forms of misspecification of the parametric distribution of unobservables. In addition, we …
Persistent link: https://www.econbiz.de/10012667936
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Generalised method of moments with latent variables
Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...
Persistent link: https://www.econbiz.de/10010368208
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2018
We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to...
Persistent link: https://www.econbiz.de/10011941538
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2019
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are … moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural … unobservables: they are optimal in terms of local worst-case bias, and their global bias is at most twice the minimum worst …
Persistent link: https://www.econbiz.de/10012146395
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Bounds on treatment effects on transitions
Vikström, Johan; Ridder, Geert; Weidner, Martin - 2016
This paper considers identification of treatment effects on conditional transition probabilities. We show that even under random assignment only the instantaneous average treatment effect is point identified. Because treated and control units drop out at different rates, randomization only...
Persistent link: https://www.econbiz.de/10011594327
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Partial independence in nonseparable models
Masten, Matthew A.; Poirier, Alexandre - 2016
statistical independence. The first is based on quantile independence. Selection on unobservables drives deviations from full …
Persistent link: https://www.econbiz.de/10011594336