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Optimal smoothing for a computationally and statistically efficient single index estimator

Xia, Yingcun; Härdle, Wolfgang Karl; Linton, Oliver - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10010274155

De copulis non est disputandum Copulae: An overview

Härdle, Wolfgang Karl; Okhrin, Ostap - 2009

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate … model provide better results than those based on the normal distribution. …

Persistent link: https://www.econbiz.de/10010274191

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk; Peésta, Michal - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10010274279

Treatment evaluation in the case of interactions within markets

Ferracci, Marc; Jolivet, Grégory; van den Berg, Gerard J. - 2010

individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of the assigned … treatments in his market. To evaluate how the distribution of treatments within a market causally affects the average effect … first one focuses on the distribution of the treatment within markets and between individuals and the second step addresses …

Persistent link: https://www.econbiz.de/10010277334

Identifying the returns to lying when the truth is unobserved

Hu, Yingyao; Lewbel, Arthur - 2007

Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...

Persistent link: https://www.econbiz.de/10010277518

Training quality and earnings: The effects of competition on the provision of public-sponsored training programs

Chong, Alberto; Galdo, José - 2006

This paper evaluates the effectiveness of market-based approaches in the provision of public-sponsored training programs. In particular, we study the link between training quality and labor earnings using a Peruvian program that targets disadvantaged youths. Multiple proxies for training quality...

Persistent link: https://www.econbiz.de/10010278300

Measuring Segregation on Small Units: A Partial Identification Analysis

D'Haultfoeuille, Xavier; Rathelot, Roland - 2016

We consider the issue of measuring segregation in a population of small units, considering establishments in our application. Each establishment may have a different probability to hire an individual from the minority group. We define segregation indices as inequality indices on these...

Persistent link: https://www.econbiz.de/10014532992

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - In: Quantitative Economics 13 (2022) 1, pp. 29-61

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Persistent link: https://www.econbiz.de/10014537016

Identifying latent heterogeneity in productivity

Dewitte, Ruben; Fuss, Catherine; Theodorakopoulos, Angelos - 2022

Productivity is influenced by several firm-level factors, often latent. When unexplained, this latent heterogeneity can lead to the mismeasurement of productivity differences between groups of firms. We propose a flexible, semi-parametric extension of current production function estimation...

Persistent link: https://www.econbiz.de/10014550273

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/10009640514