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bias. The procedure is equivalent to replacing the original kernel with a sequence of kernels constructed by convoluting … the original one in a specific way. In the nonparametric setting, we show that one can further reduce the bias by making … estimated. Furthermore, the semiparametric estimator based on such kernels enjoys the small bias property (SBP). Hence, the …
Persistent link: https://www.econbiz.de/10013211767
censored population. We then correct the derivative for the effects of the selection bias. We discuss nonparametric and …
Persistent link: https://www.econbiz.de/10013125741
We propose the use of Kernel Regularized Least Squares (KRLS) for social science modeling and inference problems. KRLS borrows from machine learning methods designed to solve regression and classification problems without relying on linearity or additivity assumptions. The method constructs a...
Persistent link: https://www.econbiz.de/10013091113
This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual effects to the variance of the idiosyncratic errors is large. First, we present a necessary condition for large N, fixed T consistency of any Fixed Effects or Random Effects...
Persistent link: https://www.econbiz.de/10012901424
Semiparametric correction for a sample selection bias in the presence of endogenous truncation is known to be much more … simple bandwidth-free semiparametric methodology to correct for a self-selection bias in a truncated sample, without any …
Persistent link: https://www.econbiz.de/10012907790
a semiparametric model. We show that both the variance part and the bias part of the nonparametric ingredient can lead … then propose two bias-robust inference procedures, based on multi-scale jackknife and analytical bias correction … functionals of the nonparametric ingredient. Simulation study shows that both bias-correction methods have good finite …
Persistent link: https://www.econbiz.de/10012865640
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio...
Persistent link: https://www.econbiz.de/10013006617
We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identifed. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal...
Persistent link: https://www.econbiz.de/10012518068
We study the finite sample behavior of Lasso-based inference methods such as post double Lasso and debiased Lasso. Empirically and theoretically, we show that these methods can exhibit substantial omitted variable biases (OVBs) due to Lasso not selecting relevant controls. This phenomenon can be...
Persistent link: https://www.econbiz.de/10012849415
bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function … for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …
Persistent link: https://www.econbiz.de/10012792731