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multi-valued treatment effects
Cattaneo, Matias D. - Palgrave Macmillan
The term multi-valued treatment effects refers to a collection of population parameters capturing the impact of a treatment variable on an outcome variable when the treatment takes multiple values. For example, in labour training programmes participants receive different hours of training or in...
Persistent link: https://www.econbiz.de/10009395631
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Genetic Matching for Estimating Causal Effects: A General Multivariate Matching Method for Achieving Balance in Observational Studies
Diamond, Alexis; Sekhon, Jasjeet S. - In: The Review of Economics and Statistics 95 (2013) 3, pp. 932-945
This paper presents genetic matching, a method of multivariate matching that uses an evolutionary search algorithm to … determine the weight each covariate is given. Both propensity score matching and matching based on Mahalanobis distance are … limiting cases of this method. The algorithm makes transparent certain issues that all matching methods must confront. We …
Persistent link: https://www.econbiz.de/10011009911
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Empirical Likelihood Methods in Econometrics: Theory and Practice
Kitamura, Yuichi - Cowles Foundation for Research in Economics, Yale University - 2006
, GMM, GEL and other related estimators. Second, EL is shown to have various advantages over other methods. The theory of …
Persistent link: https://www.econbiz.de/10005087392
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Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.; Hafner, Christian M. - Center for Applied Statistics and Econometrics (CASE), … - 2004
Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...
Persistent link: https://www.econbiz.de/10009228856
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Information Structure and Statistical Information in Discrete Response Models
Khan, Shakeeb; Nekipelov, Denis - Duke University, Department of Economics - 2011
Discrete response models are of high interest in economics and econometrics as they encompass treatment effects, social interaction and peer effect models, and discrete games. We study the impact of the structure of information sets of economic agents on the Fisher information of (strategic)...
Persistent link: https://www.econbiz.de/10009323368
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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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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010640724
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New Evidence on the Finite Sample Properties of Propensity Score Matching and Reweighting Estimators
Busso, Matias; DiNardo, John; McCrary, Justin - Institute for the Study of Labor (IZA) - 2009
Currently available asymptotic results in the literature suggest that matching estimators have higher variance than … reweighting estimators. The extant literature comparing the finite sample properties of matching to specific reweighting … estimators, however, has concluded that reweighting performs far worse than even the simplest matching estimator. We resolve this …
Persistent link: https://www.econbiz.de/10005762278
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Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach
Boes, Stefan - Institut für Volkswirtschaftslehre, … - 2007
As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under...
Persistent link: https://www.econbiz.de/10005819668
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Efficient Estimation of Copula-based Semiparametric Markov Models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - Cowles Foundation for Research in Economics, Yale University - 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions; where the copulas capture temporal dependence...
Persistent link: https://www.econbiz.de/10005762792