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Identification of average effects under magnitude and sign restrictions on confounding
Chalak, Karim - In: Quantitative Economics 10 (2019) 4, pp. 1619-1657
This paper studies measuring various average effects of X on Y in general structural systems with unobserved confounders U, a potential instrument Z, and a proxy W for U. We do not require X or Z to be exogenous given the covariates or W to be a perfect one-to-one mapping of U. We study the...
Persistent link: https://www.econbiz.de/10012215406
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Replication to assess statistical adequacy
Owen, P. Dorian - In: Economics: The Open-Access, Open-Assessment E-Journal 12 (2018) 2018-60, pp. 1-16
"Statistical adequacy" is an important prerequisite for securing reliable inference in empirical modelling. This paper argues for more emphasis on replication that specifically assesses whether the results reported in empirical studies are based on statistically adequate models, i.e., models...
Persistent link: https://www.econbiz.de/10011917552
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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
Chen, Xiaohong; Christensen, Timothy M. - In: Quantitative Economics 9 (2018) 1, pp. 39-84
This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h0 and functionals of h0 .First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series two-stage...
Persistent link: https://www.econbiz.de/10011995512
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The influence function of semiparametric estimators
Ichimura, Hidehiko; Newey, Whitney K. - In: Quantitative Economics 13 (2022) 1, pp. 29-61
sensitivity to structural changes. We apply this analysis and find no sensitivity to endogeneity of average equivalent variation … policy analysis for and sensitivity to structural changes. We apply this analysis and find no sensitivity to endogeneity of …
Persistent link: https://www.econbiz.de/10014537016
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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative Economics 10 (2019) 3, pp. 931-979
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...
Persistent link: https://www.econbiz.de/10012215390
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Nonparametric estimation of triangular simultaneous equations models under weak identification
Han, Sukjin - In: Quantitative Economics 11 (2020) 1, pp. 161-202
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...
Persistent link: https://www.econbiz.de/10012215415
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Parallelization experience with four canonical econometric models using ParMitISEM
Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics 4 (2016) 1, pp. 1-20
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...
Persistent link: https://www.econbiz.de/10011755318
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Two-step Lasso estimation of the spatial weights matrix
Ahrens, Achim; Bhattacharjee, Arnab - In: Econometrics 3 (2015) 1, pp. 128-155
sparsity of the spatial weights matrix. The proposed estimation methodology exploits the Lasso estimator and mimics two …-stage least squares (2SLS) to account for endogeneity of the spatial lag. The developed two-step estimator is of more general … larger than the number of observations. We derive convergence rates for the two-step Lasso estimator. Our Monte Carlo …
Persistent link: https://www.econbiz.de/10011755274
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Lasso maximum likelihood estimation of parametric models with singular information matrices
Jin, Fei; Lee, Lung-Fei - In: Econometrics 6 (2018) 1, pp. 1-24
regular case. We propose to estimate such models by the adaptive lasso maximum likelihood and propose an information criterion …
Persistent link: https://www.econbiz.de/10011995209
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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...
Persistent link: https://www.econbiz.de/10011755273