Showing 1 - 10 of 29
We consider penalized extremum estimation of a high-dimensional, possibly nonlinear model that is sparse in the sense that most of its parameters are zero but some are not. We use the SCAD penalty function, which provides model selection consistent and oracle efficient estimates under suitable...
Persistent link: https://www.econbiz.de/10014480588
It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X . The need to test this hypothesis arises frequently in economics. The test does not require nonparametric...
Persistent link: https://www.econbiz.de/10010318515
This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...
Persistent link: https://www.econbiz.de/10010318518
This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n-2/5....
Persistent link: https://www.econbiz.de/10010318536
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finitedimensional families of functions. Existing...
Persistent link: https://www.econbiz.de/10010318540
We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression error conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates an...
Persistent link: https://www.econbiz.de/10010318575
A parameter of an econometric model is identified if there is a one-to-one or many-to-one mapping from the population distribution of the available data to the parameter. Often, this mapping is obtained by inverting a mapping from the parameter to the population distribution. If the inverse...
Persistent link: https://www.econbiz.de/10010318682
Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem, it is common practice to either...
Persistent link: https://www.econbiz.de/10010318687
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 contolled by a regularisation parameter. The optimal...
Persistent link: https://www.econbiz.de/10010318703
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
Persistent link: https://www.econbiz.de/10010318706