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Sparse demand systems: Corners and complements
Lewbel, Arthur; Nesheim, Lars - 2019
We propose a demand model where consumers simultaneously choose a few different goods from a large menu of available … goods, and choose how much to consume of each good. The model nests multinomial discrete choice and continuous demand … consumers purchasing different numbers of types of goods. We show semiparametric identification of the model. We apply the model …
Persistent link: https://www.econbiz.de/10012146397
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Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Chen, Xiaohong; Pouzo, Demian - 2008
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...
Persistent link: https://www.econbiz.de/10010288447
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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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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Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Horowitz, Joel L.; Lee, Sokbae - 2009
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 distributed. The asymptotic normality result holds in...
Persistent link: https://www.econbiz.de/10010288414
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Microeconomic models with latent variables: Applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …
Persistent link: https://www.econbiz.de/10011445721
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The influence function of semiparametric estimators
Ichimura, Hidehiko; Newey, Whitney K. - 2017
There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the...
Persistent link: https://www.econbiz.de/10011941427
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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
Chen, Xiaohong; Christensen, Timothy M. - 2017
exact consumer surplus (CS) and deadweight loss (DL) welfare functionals under low-level conditions when demand is estimated … demand that reveals interesting patterns and is applicable to other markets. …
Persistent link: https://www.econbiz.de/10011941433
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The influence function of semiparametric estimators
Ichimura, Hidehiko; Newey, Whitney K. - 2021
estimates in a gasoline demand application. …
Persistent link: https://www.econbiz.de/10012667931
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A note on specification testing in some structural regression models
Beckert, Walter - 2019
There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...
Persistent link: https://www.econbiz.de/10012146374