Narrow search
Showing 1 - 10 of 82
Cover Image
Locally- but not globally-identified SVAR
Bacchiocchi, Emanuele; Kitagawa, Toru - 2020
This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds … analysis accordingly. For Bayesians, the lack of global identification translates to nonvanishing sensitivity of the posterior …. We characterize a class of identifying restrictions that deliver local but non-global identification, and the resulting …
Persistent link: https://www.econbiz.de/10012621117
Cover Image
A note on global identification in structural vector autoregressions
Bacchiocchi, Emanuele; Kitagawa, Toru - 2021
(2010, 'Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic … sufficient for global identification. Analytical investigation of the counterexample clarifies why their sufficiency claim breaks … identifying information. We derive a modified necessary and sufficient condition for SVAR global identification and clarify how it …
Persistent link: https://www.econbiz.de/10012621141
Cover Image
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
Cover Image
Individual heterogeneity and average welfare
Hausman, Jerry; Newey, Whitney - 2013
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. We find that the dimension of...
Persistent link: https://www.econbiz.de/10010318724
Cover Image
Likelihood inference and the role of initial conditions for the dynamic panel data model
Barbosa, Jose Diogo; Moreira, Marcelo J. - 2017
Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...
Persistent link: https://www.econbiz.de/10011941423
Cover Image
High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018
new test statistic is proposed for over-identification issue, which also is workable for the traditional moment …
Persistent link: https://www.econbiz.de/10011941424
Cover Image
High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver Bruce - 2018
We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and the number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation method based on the sieve generalized method of...
Persistent link: https://www.econbiz.de/10011941554
Cover Image
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
Cover Image
Automatic positive semi-definite HAC covariance matrix and GMM estimation
Smith, Richard J. - 2004
This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is...
Persistent link: https://www.econbiz.de/10010318449
Cover Image
Local gel methods for conditional moment restrictions
Smith, Richard J. - 2005
The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...
Persistent link: https://www.econbiz.de/10010318464