Showing 1 - 10 of 133
This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility...
Persistent link: https://www.econbiz.de/10004972599
We propose robust methods for inference about the effect of a treatment variable on a scalar outcome in the presence of very many regressors in a model with possibly non-Gaussian and heteroscedastic disturbances. We allow for the number of regressors to be larger than the sample size. To make...
Persistent link: https://www.econbiz.de/10011268065
We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10010827524
In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...
Persistent link: https://www.econbiz.de/10010827534
We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10010827563
Data with a large number of variables relative to the sample size?"high-dimensional data"?are readily available and increasingly common in empirical economics. High-dimensional data arise through a combination of two phenomena. First, the data may be inherently high dimensional in that many...
Persistent link: https://www.econbiz.de/10010761759
Persistent link: https://www.econbiz.de/10006749162
Persistent link: https://www.econbiz.de/10006364986
Finite-sample inference methods are developed for quantile regression models. The methods are conservative in that (i) they apply to arbitrary sample sizes without the liberal assumption that sample sizes approach infinity, (ii) they apply when the quantiles are partially or set identified,...
Persistent link: https://www.econbiz.de/10005063611
Under minimal assumptions, finite sample confidence bands for quantile regression models can be constructed. These confidence bands are based on the "conditional pivotal property" of estimating equations that quantile regression methods solve and provide valid finite sample inference for linear...
Persistent link: https://www.econbiz.de/10005022945