Showing 1 - 10 of 12,428
This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...
Persistent link: https://www.econbiz.de/10014581847
small depending on the shape of the copula of child and parent incomes. Second, we derive a general asymptotic theory for … asymptotic theory to other regressions involving ranks that have been used in empirical work. Finally, we apply our new inference …
Persistent link: https://www.econbiz.de/10014480485
Many studies in economics use instruments or treatments which combine a set of exogenous shocks with other predetermined variables by a known formula. Examples include shift-share instruments and measures of social or spatial spillovers. We review recent econometric tools for this setting, which...
Persistent link: https://www.econbiz.de/10014480549
Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...
Persistent link: https://www.econbiz.de/10014480567
-aware CIs that are uniformly valid regardless of whether the factors are strong or not. Our approach applies the theory of …
Persistent link: https://www.econbiz.de/10014480692
We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular,...
Persistent link: https://www.econbiz.de/10010291982
Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new...
Persistent link: https://www.econbiz.de/10010292025
In this paper we consider conditions under which the estimation of a log-linearized Euler equation for consumption yields consistent estimates of preference parameters. When utility is isoelastic and a sample covering a long time period is available, consistent estimates are obtained from the...
Persistent link: https://www.econbiz.de/10010293083
We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders' underlying valuations We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined...
Persistent link: https://www.econbiz.de/10010293455
We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is semiparametric in the sense of not requiring explicit parametric assumptions to be made concerning the distribution of these unobserved state variables We propose a two-step...
Persistent link: https://www.econbiz.de/10010293462