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Outliers in semi-parametric estimation of treatment effects

Canavire-Bacarreza, Gustavo; Castro, Luis; Ontiveros, … - In: Econometrics 9 (2021) 2, pp. 1-32

because they completely change the distribution of the metrics used to define counterfactuals; good leverage points, on the …

Persistent link: https://www.econbiz.de/10012696324

Approximations and inference for nonparametric production frontiers

Daraio, Cinzia; Simar, Léopold - 2022

Nonparametric methods have been widely used for assessing the performance of organizations in the private and public sector. The most popular ones are based on envelopment estimators, like the FDH or DEA estimators, that estimate the attainable sets and its efficient boundary by enveloping the...

Persistent link: https://www.econbiz.de/10013432930

Government Spending Efficiency in Latin America

Afonso, António; Baquero Fraga, Gabriela - 2022

We assess the public spending efficiency of 20 Latin American countries over the period of 2000-2019, computing Data Envelopment Analysis efficiency scores. For the Public Sector Performance composite indicator, we use the annual data of socio-economic indicators, and for the input measure we...

Persistent link: https://www.econbiz.de/10013470354

Measurement of extreme market risk: Insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-24

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

Persistent link: https://www.econbiz.de/10014001439

A Permutation Test and Estimation Alternatives for the Regression Kink Design

Ganong, Peter; Jäger, Simon - 2014

inference, we propose that researchers construct a distribution of placebo estimates in regions without a policy kink. We apply …

Persistent link: https://www.econbiz.de/10010398301

A test of the conditional independence assumption in sample selection models

Huber, Martin; Melly, Blaise - 2012

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

Persistent link: https://www.econbiz.de/10010420259

Memory parameter estimation in the presence of level shifts and deterministic trends

McCloskey, Adam; Perron, Pierre - 2012

We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...

Persistent link: https://www.econbiz.de/10010420260

Sheep in wolf's clothing: Using the least squares criterion for quantile estimation

Chen, Heng - 2014

Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The intuition of quantile coupling is to divide the original observations...

Persistent link: https://www.econbiz.de/10010420629

Inference on Causal Effects in a Generalized Regression Kink Design

Card, David; Lee, David S.; Pei, Zhuan; Weber, Andrea - 2015

We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of interest is a known, deterministic, but kinked function of an observed assignment variable. This design arises in many institutional settings where a policy variable (such as weekly...

Persistent link: https://www.econbiz.de/10010481655

Spurious Weather Effects

Lind, Jo Thori - 2015

on electoral turnout in Norway. Using precipitation on non-election days, I show that the distribution of parameter … estimates is far away from the theoretical distribution. To solve the problem, I suggest controlling for spatial and spatio …

Persistent link: https://www.econbiz.de/10010531836