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The Devil is in the Tails : Regression Discontinuity Design with Measurement Error in the Assignment Variable

Pei, Zhuan - 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/10012979862

Causality and econometrics

Heckman, James J.; Pinto, Rodrigo - 2022

This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...

Persistent link: https://www.econbiz.de/10012886838

Regression and Causation : A Critical Examination of Six Econometrics Textbooks

Chen, Bryant - 2013

This report surveys six influential econometric textbooks in terms of their mathematical treatment of causal concepts. It highlights conceptual and notational differences among the authors and points to areas where they deviate significantly from modern standards of causal analysis. We find that...

Persistent link: https://www.econbiz.de/10013074665

Statistical Inference

Zuev, Konstantin - 2018

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

Persistent link: https://www.econbiz.de/10012927199

Poor (wo)man's bootstrap

Honoré, Bo E.; Hu, Luojia - 2015

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...

Persistent link: https://www.econbiz.de/10010490878

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

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16

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/10011506231

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

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

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - 2015

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