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Locally robust semiparametric estimation
Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016
have smaller bias that is flatter as a function of first step smoothing leading to improved small sample properties. Series …
Persistent link: https://www.econbiz.de/10011594341
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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous … regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios … regarding the number and strength of instruments.The resulting approximation encompasses existing bias approximations, which are …
Persistent link: https://www.econbiz.de/10010288373
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GEL methods for nonsmooth moment indicators
Parente, Paulo; Smith, Richard J. - 2008
This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...
Persistent link: https://www.econbiz.de/10010288453
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Locally robust semiparametric estimation
Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018
bias and so are important when the first step is machine learning. We derive LR moment conditions for dynamic discrete …
Persistent link: https://www.econbiz.de/10011941476
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Kernel block bootstrap
Parente, Paulo M. D. C.; Smith, Richard J. - 2018
shows the large sample validity of the kernel block bootstrap and derives the higher order bias and variance of the kernel … estimator has a favourable higher order bias property. Simulations based on the designs of Paparoditis and Politis (2001 …
Persistent link: https://www.econbiz.de/10011941512
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Characterizations of identified sets delivered by structural econometric models
Chesher, Andrew; Rosen, Adam M. - 2016
This paper develops characterizations of identified sets of structures and structural features for complete and incomplete models involving continuous or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can...
Persistent link: https://www.econbiz.de/10011594354
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10011282646
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Individual heterogeneity and average welfare
Hausman, Jerry A.; Newey, Whitney K. - 2014
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. Only the marginal distribution of...
Persistent link: https://www.econbiz.de/10011445701
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Mean Ratio Statistic for measuring predictability
Linton, Oliver; Smetanina, Katja - 2015
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...
Persistent link: https://www.econbiz.de/10011445716
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The marriage market, labor supply and education choice
Chiappori, Pierre-Andre; Dias, Monica Costa; Meghir, Costas - 2015
We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable utility context. Individuals start by choosing their investments in education anticipating returns in the marriage market and the labor market. They then match based on the...
Persistent link: https://www.econbiz.de/10011445725