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Takeaways from the special issue on the practice of replication

Reed, W. Robert - 2019

In July 2017, issued a call for papers for a special issue on "The Practice of Replication." In that call, the journal explained that there was no generally accepted procedure for how to do a replication. Likewise, there was no generally accepted standard for determining whether a replication...

Persistent link: https://www.econbiz.de/10011963834

Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

Persistent link: https://www.econbiz.de/10014343662

Identiﬁcation and estimation of dynamic structural models with unobserved choices

Hu, Yingyao; Xin, Yi - 2019

This paper develops identiﬁcation and estimation methods for dynamic structural models when agents' actions are unobserved by econometricians. We provide conditions under which choice probabilities and latent state transition rules are nonparametrically identiﬁed with a continuous state...

Persistent link: https://www.econbiz.de/10012019994

The devil is in the tails : regression discontinuity design with measurement error in the assignment variable

Pei, Zhuan; Shen, Yi - 2016

Identification in a regression discontinuity (RD) design hinges on the discontinuity in the probability of treatment when a covariate (assignment variable) exceeds a known threshold. If the assignment variable is measured with error, however, the discontinuity in the first stage relationship...

Persistent link: https://www.econbiz.de/10011580530

Simple tests for selection bias : learning more from instrumental variables

Black, Dan A.; Joo, Joonhwi; LaLonde, Robert John; … - 2015

We provide simple tests for selection on unobserved variables in the Vytlacil-Imbens-Angrist framework for Local Average Treatment Effects. The tests allow researchers not only to test for selection on either or both of the treated and untreated outcomes, but also to assess the magnitude of the...

Persistent link: https://www.econbiz.de/10011336946

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - 2015

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...

Persistent link: https://www.econbiz.de/10011713803

Easy bootstrap-like estimation of asymptotic variances

Honoré, Bo E.; Hu, Luojia - 2018

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a "Poor (Wo)man's Bootstrap" based on one-dimensional...

Persistent link: https://www.econbiz.de/10011879253

Simpler bootstrap estimation of the asymptotic variance of U-statistic based estimators

Honoré, Bo E.; Hu, Luojia - 2015

requires repeated re-calculation of the estimator. In Honoré and Hu (2015), we propose a computationally simpler bootstrap … contribution here is that rather than repeated re-calculating the U-statistic-based estimator, we can recalculate a related … estimator based on single-sums. A simulation study suggests that the approach leads to a good approximation to the standard …

Persistent link: https://www.econbiz.de/10011312274

Non-standard errors

Bosch-Rosa, Ciril; Kassner, Bernhard - 2023

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...

Persistent link: https://www.econbiz.de/10014478337

Identification and estimation of dynamic structural models with unobserved choices

Hu, Yingyao; Xin, Yi - 2020

choices are partially unavailable, and dynamic discrete games. We propose a sieve maximum likelihood estimator for primitives …

Persistent link: https://www.econbiz.de/10012271085

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