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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
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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
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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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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
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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
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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
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Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Horowitz, Joel L.; Lee, Sokbae - 2010
This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...
Persistent link: https://www.econbiz.de/10010292807
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Asymptotic properties for a class of partially identified models
Beresteanu, Arie; Molinari, Francesca - 2006
We propose inference procedures for partially identified population features for which the population identification region can be written as a transformation of the Aumann expectation of a properly defined set valued random variable (SVRV). An SVRV is a mapping that associates a set (rather...
Persistent link: https://www.econbiz.de/10010333083
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antoine; de Paula, Áureo - 2013
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological. We establish that voter preference distributions and other parameters of interest can be identified from aggregate electoral data. We also show that these objects can be...
Persistent link: https://www.econbiz.de/10010368181