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Microeconomic models with latent variables: Applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...

Persistent link: https://www.econbiz.de/10011445721

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

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

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

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

Persistent link: https://www.econbiz.de/10011594341

Sharp identification regions in games

Beresteanu, Arie; Molchanov, Ilya; Molinari, Francesca - 2008

We study identification in static, simultaneous move finite games of complete information, where the presence of multiple Nash equilibria may lead to partial identification of the model parameters. The identification regions for these parameters proposed in the related literature are known not...

Persistent link: https://www.econbiz.de/10010288446

Reserve price effects in auctions: Estimates from multiple RD designs

Choi, Syngjoo; Nesheim, Lars; Rasul, Imran - 2010

We present evidence from 260,000 online auctions of second-hand cars to identify the impact of public reserve prices on …

Persistent link: https://www.econbiz.de/10010288399

Identification of unobservables in observations

Hu, Yingyao - 2022

In empirical studies, the data usually don't include all the variables of interest in an economic model. This paper shows the identification of unobserved variables in observations at the population level. When the observables are distinct in each observation, there exists a function mapping...

Persistent link: https://www.econbiz.de/10014302515

Inference for ranks with applications to mobility across neighborhoods and academic achievement across countries

Mogstad, Magne; Romano, Joseph P.; Shaikh, Azeem M.; … - 2023

It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...

Persistent link: https://www.econbiz.de/10014302519

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10010318448