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Chesher, Andrew; Smolinski, Konrad - 2009

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying...

Persistent link: https://www.econbiz.de/10010288410

Well-posedness of measurement error models for self-reported data

An, Yonghong; Hu, Yingyao - 2009

It is widely admitted that the inverse problem of estimating the distribution of a latent variable X* from an observed sample of X, a contaminated measurement of X*, is ill-posed. This paper shows that measurement error models for self-reporting data are well-posed, assuming the probability of...

Persistent link: https://www.econbiz.de/10010288413

Set identification with Tobin regressors

Chernozhukov, Victor; Rigobon, Roberto; Stoker, Thomas M. - 2009

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected, called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...

Persistent link: https://www.econbiz.de/10010288415

Principal components and the long run

Chen, Xiaohong; Hansen, Lars Peter; Scheinkman, José A. - 2009

used to quantify the incremental importance of the principal components. By exploiting the theory of continuous …

Persistent link: https://www.econbiz.de/10010288417

Identification region of the potential outcome distributions under instrument independence

Kitagawa, Toru - 2009

This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...

Persistent link: https://www.econbiz.de/10010288420

Nonparametric tests of conditional treatment effects

Lee, Sokbae; Whang, Yoon-Jae - 2009

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

Persistent link: https://www.econbiz.de/10010288423

Nonparametric identification in asymmetric second-price auctions: A new approach

Kitagawa, Toru - 2009

This paper proposes an approach to proving nonparametric identification for distributions of bidders' values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner's identity and the transaction...

Persistent link: https://www.econbiz.de/10010288424

Quantile and average effects in nonseparable panel models

Chernozhukov, V.; Fernandez-Val, I.; Newey, W. - 2009

This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or...

Persistent link: https://www.econbiz.de/10010288429

Alternative approaches to evaluation in empirical microeconomics

Blundell, Richard; Costa Dias, Monica - 2008

drawing on the empirical evidence from the education and labor market policy evaluation literature. We also develop an … education evaluation model which we use to carry through the discussion of each alternative approach. A full set of STATA … datasets are provided free online which contain Monte-Carlo replications of the various specifications of the education …

Persistent link: https://www.econbiz.de/10010288434

More on confidence intervals for partially identified parameters

Stoye, Jörg - 2008

This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's...

Persistent link: https://www.econbiz.de/10010288438