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Assessing bias in the estimation of causal effects: Rosenbaum bounds on matching estimators and instrumental variables estimation with imperfect instruments
DiPrete, Thomas A.; Gangl, Markus - 2004
Propensity score matching provides an estimate of the effect of a 'treatment' variable on an outcome variable that is … largely free of bias arising from an association between treatment status and observable variables. However, matching methods … undermine the conclusions about causal effects from a matching analysis. Instrumental variables (IV) estimation provides an …
Persistent link: https://www.econbiz.de/10010304029
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Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Angrist, Joshua D.; Kuersteiner, Guido M. - 2008
Macroeconomists have long been concerned with the causal effects of monetary policy. When the identification of causal effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a...
Persistent link: https://www.econbiz.de/10010270625
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Bandwidth selection and the estimation of treatment effects with unbalanced data
Galdo, Jose; Smith, Jeffrey A.; Black, Dan - 2007
using matching methods. Because precise estimation of the expected counterfactual is particularly important in regions …
Persistent link: https://www.econbiz.de/10010276772
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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim; Podolski, Mark - 2005
. Moreover, with slightly stronger conditions, in particular a zero drift-term, we find an asymptotic distribution theory. To …
Persistent link: https://www.econbiz.de/10010296680
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the...
Persistent link: https://www.econbiz.de/10010281553
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Nonparametric Kernel density estimation near the boundary
Malec, Peter; Schienle, Melanie - 2012
Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...
Persistent link: https://www.econbiz.de/10010318760
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How much can we trust causal interpretations of fixed-effects estimators in the context of criminality?
Bjerk, David - 2009
Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...
Persistent link: https://www.econbiz.de/10010271337
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Causal inference by independent component analysis with applications to micro- and macroeconomic data
Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - 2010
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...
Persistent link: https://www.econbiz.de/10010269741
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Some variables are more worthy than others: New diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman - 2011
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic indicators is...
Persistent link: https://www.econbiz.de/10010282848
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Maintaining low inflation: money, interest rates, and policy stance
Reynard, Samuel - 2007
This paper presents a systematic empirical relationship between money and subsequent prices and output, using US, euro area and Swiss data since the 1960-70s. Monetary developments, unlike interest rate stance measures, are shown to provide qualitative and quantitative information on subsequent...
Persistent link: https://www.econbiz.de/10011604802