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An empirical investigation of parametric and semiparametric estimation methods in sample selection models
Fernández-Sainz, Ana I.; Rodríguez-Póo, Juan M. - In: Revista de Métodos Cuantitativos para la Economía y … 10 (2010), pp. 99-120
heteroskedasticity. To do this, we estimate a wage equation for the Spanish labor market using two different approaches: Maximum …
Persistent link: https://www.econbiz.de/10010282685
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An Empirical Investigation of Parametric and Semiparametric Estimation Methods in Sample Selection Models = Investigación empírica de métodos de estimación paramétricos y semiparam...
Fernández-Sainz, Ana I.; Rodríguez-Póo, Juan M. - In: Revista de Métodos Cuantitativos para la Economía y … 10 (2010) 1, pp. 99-120
heteroskedasticity. To do this, we estimate a wage equation for the Spanish labour market using two different approaches: Maximum …
Persistent link: https://www.econbiz.de/10008764013
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Set inferences and sensitivity analysis in semiparametric conditionally identified models
Escanciano, Juan Carlos; Zhu, Lin - 2013
This paper provides tools for partial identification inference and sensistivity analysis in a general class of semiparametric models. The main working assumption is that the finite-dimensional parameter of interest and the possibility infinite-dimensional nuisance parameter are identified...
Persistent link: https://www.econbiz.de/10010368225
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The joint dynamics of sovereign ratings and government bond yields
El-Shagi, Makram; von Schweinitz, Gregor - 2016
Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this...
Persistent link: https://www.econbiz.de/10011483424
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Set inferences and sensitivity analysis in semiparametric conditionally identified models
Escanciano, Juan Carlos; Zhu, Lin - 2013
This paper provides tools for partial identification inference and sensistivity analysis in a general class of semiparametric models. The main working assumption is that the finite-dimensional parameter of interest and the possibility infinite-dimensional nuisance parameter are identified...
Persistent link: https://www.econbiz.de/10010194268
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The joint dynamics of sovereign ratings and government bond yields
Shagi, Makram el-; Schweinitz, Gregor von - 2016
Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this...
Persistent link: https://www.econbiz.de/10011482939
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Non-Standard Rates of Convergence of Criterion-Function-Based Set Estimators
Blevins, Jason R. - Ohio State University, Department of Economics - 2013
This paper establishes conditions for consistency and potentially non-standard rates of convergence for set estimators based on contour sets of criterion functions. These conditions cover the standard parametric rate $n^{-1/2}$, non-standard polynomial rates such as $n^{-1/3}$, and an extreme...
Persistent link: https://www.econbiz.de/10010732329
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Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators
Inkmann, Joachim - 1999
. The GMM estimators outperform SML in the presence of misspecification in terms of multiplicative heteroskedasticity. This … holds in particular for the three-stage GMM estimator. Allowing for heteroskedasticity over time increases the robustness … with respect to misspecification in terms of ultiplicative heteroskedasticity. An application to the product innovation …
Persistent link: https://www.econbiz.de/10011545114
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Model Equivalence Tests for Overidentifying Restrictions
Lavergne, Pascal - Toulouse School of Economics (TSE) - 2015
I propose a new theoretical framework to assess the approximate validity of overidentifying moment restrictions. Their approximate validity is evaluated by the divergence between the true probability measure and the closest measure that imposes the moment restrictions of interest. The divergence...
Persistent link: https://www.econbiz.de/10011240612
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Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model
Inkmann, Joachim - 1997
more robust than SML when heteroskedasticity over time is ignored as well as in the presence of multiplicative … heteroskedasticity. An application to the product innovation activities of German manufacturing firms is presented. …
Persistent link: https://www.econbiz.de/10010398088