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Factor Profiling for Ultra High Dimensional Variable Selection

Wang, Hansheng - 2010

We propose here a novel method of factor profiling (FP) for ultra high dimensional variable selection. The new method assumes that the correlation structure of the high dimensional data can be well represented by a set of low-dimensional latent factors (Fan et al., 2008). The latent factors can...

Persistent link: https://www.econbiz.de/10013143110

Testing for Reverse Causation and Omitted Variable Bias in Regressions

Marvell, Thomas B. - 2020

or missing variable bias), an important and intractable problem in many disciplines. The test is simple: one selects a …

Persistent link: https://www.econbiz.de/10012848483

Testing for Reverse Causation and Omitted Variable Bias in Regressions

Marvell, Thomas B. - 2022

regressors. This paper shows that this often does not occur if the regression suffers from simultaneity or omitted variable bias … test for the presence of simultaneity or omitted variable bias, important and intractable problems in many disciplines. The …. Simultaneity or omitted variable bias is indicated if t-ratios and coefficients undergo these trends with more collinearity. The …

Persistent link: https://www.econbiz.de/10013308808

Cross-Section Regression with Common Shocks

Andrews, Donald W. K. - 2003

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

Persistent link: https://www.econbiz.de/10014077624

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and to Forecast their Effects in New Environments

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

Persistent link: https://www.econbiz.de/10014024944

Testing Covariates in High Dimensional Regression

Lan, Wei - 2013

In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

Persistent link: https://www.econbiz.de/10013082410

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10003376011

Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity

Linton, Oliver - 2016

We study the efficient estimation of nonparametric regressions with conditional heteroskedasticity in a time series setting. We introduce a weighted local polynomial regression smoother that takes account of the dynamic heteroskedasticity. The effect of weighting on nonparametric regressions is...

Persistent link: https://www.econbiz.de/10013004681

Application of Local Influence Diagnostics to the Linear Logistic Regression Models

Hossain, Monzur; Islam, M. Ataharul - 2004

This paper focuses the development of the diagnostics for the perturbations of case-weights and explanatory variables (one or more) in a linear logistic regression model. The effect of specific perturbation scheme on the estimation of parameters is also assessed. In addition, the interpretation...

Persistent link: https://www.econbiz.de/10014069878

Fat-Tailed Regression Modeling with Spliced Distributions

Gan, Guojun - 2017

Insurance claims data usually contains a large number of zeros and exhibits fat-tail behavior. Misestimation of one end of the tail impacts the other end of the tail of the claims distribution; such can affect both the adequacy of premiums and needed reserves to hold. In addition, insured...

Persistent link: https://www.econbiz.de/10012947808