Similar Search Results

Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions

Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015

nonparametric estimation of this function. The latter property is important because, owing to the ill-posed inverse problem, a test …

Persistent link: https://www.econbiz.de/10011350133

Adaptive nonparametric instrumental variables estimation : empirical choice of the regularisation parameter

Horowitz, Joel - 2012

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

Persistent link: https://www.econbiz.de/10009760143

Non-asymptotic inference in instrumental variables estimation

Horowitz, Joel - 2018

This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference between the true and nominal probabilities of rejecting a...

Persistent link: https://www.econbiz.de/10011901474

Non-asymptotic inference in instrumental variables estimation

Horowitz, Joel - 2017

This paper presents a simple non-asymptotic method for carrying out inference in IV models. The method is a non-Studentized version of the Anderson-Rubin test but is motivated and analyzed differently. In contrast to the conventional Anderson-Rubin test, the method proposed here does not require...

Persistent link: https://www.econbiz.de/10011758349

Testing exogeneity in nonparametric instrumental variables models identified by conditional quantile restrictions

Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - In: The econometrics journal 24 (2021) 1, pp. 23-40

Persistent link: https://www.econbiz.de/10012504444

Testing a parametric model against a nonparametric alternative with identification through instrumental variables

Horowitz, Joel (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002435319

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10009761386

Ill-posed inverse problems in economics

Horowitz, Joel - 2013

the population distribution. If the inverse mapping is discontinuous, then estimation of the parameter usually presents an … interest is a function. This paper explains how ill-posedness arises and why it causes problems for estimation. The need to … modify or "regularize" the identifying mapping is explained, and methods for regularization and estimation are discussed …

Persistent link: https://www.econbiz.de/10009778441

Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter

Horowitz, Joel - In: Journal of econometrics 180 (2014) 2, pp. 158-173

Persistent link: https://www.econbiz.de/10010433394

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2012

This paper is concerned with inference about an unidentified linear functional, L(g), where the function g satisfies the relation Y=g(x) + U; E(U/W) = 0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X, and U is an...

Persistent link: https://www.econbiz.de/10009554348