Showing 51 - 60 of 79,933
This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation is still locally ill-posed
Persistent link: https://www.econbiz.de/10011515736
We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider three kinds of functions: (1) functions with bounded domains which satisfy standard norm bounds, (2) functions with bounded domains which do not satisfy standard norm bounds,...
Persistent link: https://www.econbiz.de/10011412122
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/10011345869
This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its sparse nature observed in many applications. Recognizing...
Persistent link: https://www.econbiz.de/10012109678
We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched...
Persistent link: https://www.econbiz.de/10012152500
This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its sparse nature observed in many applications. Recognizing...
Persistent link: https://www.econbiz.de/10012099239
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it...
Persistent link: https://www.econbiz.de/10012795376
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014333333
We study the identification and estimation of covariate-conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional...
Persistent link: https://www.econbiz.de/10011757766
In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose from a finite number of coverages. We show that the...
Persistent link: https://www.econbiz.de/10015190336