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Nonparametric Two-Step Sieve M Estimation and Inference
Hahn, Jinyong - 2017
This paper studies the two-step sieve M estimation of general semi/nonparametric models, where the second step involves sieve estimation of unknown functions that may use the nonparametric estimates from the first step as inputs, and the parameters of interest are functionals of unknown...
Persistent link: https://www.econbiz.de/10012969741
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Bias corrected instrumental variables estimation for dynamic panel models with fixed effects
Hahn, Jinyong (contributor); Hausman, Jerry A. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001603054
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Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects
Hahn, Jinyong; Hausman, Jerry A.; Kuersteiner, Guido M. - 2003
This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed … effects. Three different methods of second order bias correction are considered. Simulation experiments show that these … is approximately achieving the minimal bias in a certain class of instrumental variables (IV) estimators. Simulation …
Persistent link: https://www.econbiz.de/10014127900
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Nonparametric instrumental variables and regular estimation
Hahn, Jinyong; Liao, Zhipeng - In: Econometric theory 34 (2018) 3, pp. 574-597
Persistent link: https://www.econbiz.de/10011951014
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IV Estimation with Valid and Invalid Instruments
Hahn, Jinyong; Hausman, Jerry A. - 2003
. We investigate conditions under which the approximate finite sample bias or the MSE of 2SLS is smaller than the … then present a method of sensitivity analysis, which calculates the maximal asymptotic bias of 2SLS under small violations … maximal asymptotic bias. We apply our results to IV estimation of the returns to education. We derive the bias in the …
Persistent link: https://www.econbiz.de/10014076026
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Problems with the control variable approach in achieving unbiased estimates in nonlinear models in the presence of many instruments
Hahn, Jinyong; Hausman, Jerry A. - In: Journal of quantitative economics 19 (2021), pp. 39-58
Persistent link: https://www.econbiz.de/10013441705
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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
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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
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Asymptotic efficiency of semiparametric two-step GMM
Ackerberg, Daniel; Chen, Xiaohong; Hahn, Jinyong - 2014
Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly nonnested or overlapping conditioning sets, and the finite dimensional parameters of interest are over-identified via...
Persistent link: https://www.econbiz.de/10011282654
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Asymptotic efficiency of semiparametric two-step GMM
Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng - 2012
In this note, we characterize the semiparametric efficiency bound for a class of semi- parametric 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/10010318691