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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

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

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

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

Point Decisions for Interval-Identified Parameters

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

This paper focuses on a situation where the decision-maker prefers to make a point-decision when the object of interest is interval-identified. Such a situation frequently arises when the interval-identified parameter is closely related to an optimal policy decision. To obtain a reasonable...

Persistent link: https://www.econbiz.de/10008479568

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

Efficient Estimation of Average Treatment Effects under Treatment-Based Sampling

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are based on treatments. This paper first establishes...

Persistent link: https://www.econbiz.de/10005109603

Efficient Estimation of Semiparametric Multivariate Copula Models

Chen, Xiaohong; Fan, Yanqin; Tsyrennifov, Victor - Vanderbilt University Department of Economics - 2004

We propose a sieve maximum likelihood (ML) estimation procedure for a broad class of semiparametric multivariate distribution models. A joint distribution in this class is characterized by a parametric copula function evaluated at nonparametric marginal distributions. This class of models has...

Persistent link: https://www.econbiz.de/10005178573

Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

Jansson, Michael - School of Economics and Management, University of Aarhus - 2007

This paper derives asymptotic power envelopes for tests of the unit root hypothesis in a zero-mean AR(1) model. The power envelopes are derived using the limits of experiments approach and are semiparametric in the sense that the underlying error distribution is treated as an unknown...

Persistent link: https://www.econbiz.de/10005198861

Efficient Derivative Pricing By The Extended Method of Moments

GAGLIARDINI, Patrick; GOURIEROUX, Christian; RENAULT, Eric - 2004

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Persistent link: https://www.econbiz.de/10008922932