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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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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/10011486511
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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/10009620338
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Locally robust semiparametric estimation
Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016
This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …
Persistent link: https://www.econbiz.de/10011517194
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Locally robust semiparametric estimation
Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018
We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …
Persistent link: https://www.econbiz.de/10011824067
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GEL-based inference with unconditional moment inequality restrictions
Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017
function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …
Persistent link: https://www.econbiz.de/10011812336
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010336485
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Nonparametric instrumental variable estimators of structural quantile effects
Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008
We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...
Persistent link: https://www.econbiz.de/10003961394
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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10009537332
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A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10008901645