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Cattaneo, Matias D. - Palgrave Macmillan

The term multi-valued treatment effects refers to a collection of population parameters capturing the impact of a treatment variable on an outcome variable when the treatment takes multiple values. For example, in labour training programmes participants receive different hours of training or in...

Persistent link: https://www.econbiz.de/10009395631

Genetic Matching for Estimating Causal Effects: A General Multivariate Matching Method for Achieving Balance in Observational Studies

Diamond, Alexis; Sekhon, Jasjeet S. - In: The Review of Economics and Statistics 95 (2013) 3, pp. 932-945

This paper presents genetic matching, a method of multivariate matching that uses an evolutionary search algorithm to … determine the weight each covariate is given. Both propensity score matching and matching based on Mahalanobis distance are … limiting cases of this method. The algorithm makes transparent certain issues that all matching methods must confront. We …

Persistent link: https://www.econbiz.de/10011009911

Information Structure and Statistical Information in Discrete Response Models

Khan, Shakeeb; Nekipelov, Denis - Duke University, Department of Economics - 2011

Discrete response models are of high interest in economics and econometrics as they encompass treatment effects, social interaction and peer effect models, and discrete games. We study the impact of the structure of information sets of economic agents on the Fisher information of (strategic)...

Persistent link: https://www.econbiz.de/10009323368

Asymptotic Efficiency of Semiparametric Two-step GMM

Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng - Cowles Foundation for Research in Economics, Yale University - 2012

In this note, we characterize the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the finite dimensional...

Persistent link: https://www.econbiz.de/10010812538

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...

Persistent link: https://www.econbiz.de/10010640724

Point Decisions for Interval-Identified Parameters

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

This paper focuses on a situation where the decision-maker prefers to make a point-decision when the object of interest is interval-identified. Such a situation frequently arises when the interval-identified parameter is closely related to an optimal policy decision. To obtain a reasonable...

Persistent link: https://www.econbiz.de/10008479568

Efficient Estimation of Average Treatment Effects under Treatment-Based Sampling

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are based on treatments. This paper first establishes...

Persistent link: https://www.econbiz.de/10005109603

Efficient Estimation of Semiparametric Multivariate Copula Models

Chen, Xiaohong; Fan, Yanqin; Tsyrennifov, Victor - Vanderbilt University Department of Economics - 2004

We propose a sieve maximum likelihood (ML) estimation procedure for a broad class of semiparametric multivariate distribution models. A joint distribution in this class is characterized by a parametric copula function evaluated at nonparametric marginal distributions. This class of models has...

Persistent link: https://www.econbiz.de/10005178573

Asymptotic efficiency of semiparametric two-step GMM

Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng - Centre for Microdata Methods and Practice (CEMMAP) - 2012

In this note, we characterise the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the finite dimensional...

Persistent link: https://www.econbiz.de/10010593709

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10010575249

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