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When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
Prono, Todd - Volkswirtschaftliche Fakultät, … - 2011
A new method is proposed for estimating linear triangular models, where identification results from the structural … errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the …
Persistent link: https://www.econbiz.de/10009322633
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GARCH-based identification of triangular systems with an application to the CAPM: Still living with the roll critique
Prono, Todd - 2007
This paper presents a new method for identifying triangular systems of time-series data. Identification is the product … of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself …. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is …
Persistent link: https://www.econbiz.de/10010280942
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Quality and its impact on efficiency
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2019
The issue of quality and its relationship with efficiency and performance is a crucial operational issue in many fields of study including production economics, operations research, engineering and business management. In this paper we provide a methodology for identifying latent quality...
Persistent link: https://www.econbiz.de/10012060659
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Quality and its impact on efficiency
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2019
The issue of quality and its relationship with efficiency and performance is a crucial operational issue in many fields of study including production economics, operations research, engineering and business management. In this paper we provide a methodology for identifying latent quality...
Persistent link: https://www.econbiz.de/10011986764
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Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
Gospodinov, Nikolay; Hirukawa, Masayuki - Department of Economics, Concordia University - 2008
This paper proposes a nonparametric regression using asymmetric kernel functions for nonnegative, absolutely regular processes, and specializes this technique to estimating scalar diffusion models of spot interest rate. We illustrate the advantages of asymmetric kernel estimators for bias...
Persistent link: https://www.econbiz.de/10004968088
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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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Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010575249
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An Alternative Way of ComputingEfficient Instrumental VariableEstimators
Chen, Xiaohong; Jacho-Chávez, David T.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009
A new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the combination of a large number ofpossibly inefficient estimators rather than combining the instruments into anoptimal instrument function. The consistency and asymptotic...
Persistent link: https://www.econbiz.de/10008838716
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The Value of Knowing the Propensity Score for Estimating Average Treatment Effects
Rothe, Christoph - 2016
In a treatment effect model with unconfoundedness, treatment assignments are not only independent of potential outcomes given the covariates, but also given the propensity score alone. Despite this powerful dimension reduction property, adjusting for the propensity score is known to lead to an...
Persistent link: https://www.econbiz.de/10011494361
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Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n-consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010288299