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A note on the variance of average treatment effects estimators
Montes-Rojas, Gabriel - In: Economics Bulletin 29 (2009) 4, pp. 2937-2943
We derive the variance of the Hirano, Imbens and Ridder (Econometrica 66, 315--31, 2003) average treatment effects estimator when the true propensity score is known. This variance is used in the derivation of the variance of a similar two-step estimator, where a M-estimator is used in the first...
Persistent link: https://www.econbiz.de/10008563181
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ACCUMULATED PREDICTION ERRORS, INFORMATION CRITERIA AND OPTIMAL FORECASTING FOR AUTOREGRESSIVE TIME SERIES
Ing, Ching-Kang - EconWPA - 2005
The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning,...
Persistent link: https://www.econbiz.de/10005556290
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A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model
Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168
this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …
Persistent link: https://www.econbiz.de/10011031444
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GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
Chen, Willa; Deo, Rohit - EconWPA - 2005
Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …
Persistent link: https://www.econbiz.de/10005556285
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Is Deflation Costly After All? The Perils of Erroneous Historical Classifications
Kaufmann, Daniel - 2017
Measurement error in historical data distorts descriptive analyses based on binary classifications. Modern replications of deficiencies in retrospective CPI estimates for the 19th century show that measurement issues cause misclassification of inflationary and deflationary episodes. We therefore...
Persistent link: https://www.econbiz.de/10011957744
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Is deflation costly after all? : the perils of erroneous historical classifications
Kaufmann, Daniel - 2017 - This version: 1 September 2017
Measurement error in historical data distorts descriptive analyses based on binary classifications. Modern replications of deficiencies in retrospective CPI estimates for the 19th century show that measurement issues cause misclassification of inflationary and deflationary episodes. We therefore...
Persistent link: https://www.econbiz.de/10011749393
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Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
Lee, Yoonseok; Caner, Mehmet; Han, Xu - Center for Policy Research, Maxwell School - 2015
This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid … sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic … conditions to estimate the selected structural parameters and thus achieves the standard GMM efficiency bound as if we know the …
Persistent link: https://www.econbiz.de/10011269089
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Adaptive elastic net GMM estimation with many invalid moment conditions : simultaneous model and moment selection
Caner, Mehmet; Han, Xu; Lee, Yoonseok - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 24-46
Persistent link: https://www.econbiz.de/10011894389
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Did the pattern of aggregate employment growth change in the euro area in the late 1990s?
Mourre, Gilles - 2004
The paper examines whether the pattern of growth in euro area employment seen in the period 1997-2001 differed from that recorded in the past and what could be the reasons for that. First, a standard employment equation is estimated for the euro area as a whole. This shows that the lagged impact...
Persistent link: https://www.econbiz.de/10009639412
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Approximation Properties of the Neuro-Fuzzy Minimum Function
Gottschling, Andreas; Kreuter, Christof - 1999
This paper derives a universal approximation result for theminimum fuzzy implication rule as well as a differentiable substitute function that allows fast optimization and function approximation with neuro-fuzzy networks.
Persistent link: https://www.econbiz.de/10005843729