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Identification of Treatment Effects under Conditional Partial Independence

Masten, Matthew - 2017

Conditional independence of treatment assignment from potential outcomes is a commonly used but nonrefutable assumption. We derive identified sets for various treatment effect parameters under nonparametric deviations from this conditional independence assumption. These deviations are defined...

Persistent link: https://www.econbiz.de/10012950896

Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics

Härdle, Wolfgang K. - 2017

Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...

Persistent link: https://www.econbiz.de/10012966309

Stochastic Nonparametric Envelopment of Data : Combining Virtues of Sfa and DEA in a Unified Framework

Kuosmanen, Timo - 2006

The literature of productive efficiency analysis is divided into two main branches: the parametric Stochastic Frontier Analysis (SFA) and nonparametric Data Envelopment Analysis (DEA). This paper attempts to combine the virtues of both approaches in a unified framework. We follow the SFA...

Persistent link: https://www.econbiz.de/10014057860

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Bassetti, Federico - 2015

We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination weights. Building on the work of Ranjan and Gneiting (2010) and...

Persistent link: https://www.econbiz.de/10013027970

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification …-Frequency Data ; Point-Mass Mixture ; Multiplicative Error Model ; Excess Zeros ; Semiparametric Specification Test ; Market …

Persistent link: https://www.econbiz.de/10009308298

Counterfactual Estimation in Semiparametric Discrete-Choice Models

Chiong, Khai - 2017

We show how to construct bounds on counterfactual choice probabilities in semiparametric discrete-choice models. Our … are useful for typical counterfactual exercises in aggregate discrete-choice demand models. In our semiparametric approach …

Persistent link: https://www.econbiz.de/10012955083

Semiparametric Estimation of Dynamic Discrete Choice Models

Buchholz, Nicholas - 2019

We consider the estimation of dynamic binary choice models in a semiparametric setting, in which the per-period utility … semiparametric setup differs from most of the existing identification and estimation literature for dynamic discrete choice models … the literature on semiparametric regression and average derivative estimation. Monte Carlo simulations demonstrate that …

Persistent link: https://www.econbiz.de/10012871654

Identification of counterfactuals in dynamic discrete choice models

Kalouptsidi, Myrto; Scott, Paul T.; Rodrigues, Eduardo … - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 351-403

Dynamic discrete choice (DDC) models are not identified nonparametrically, but the non-identification of models does not necessarily imply the nonidentification of counterfactuals. We derive novel results for the identification of counterfactuals in DDC models, such as non-additive changes in...

Persistent link: https://www.econbiz.de/10012598419

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric …

Persistent link: https://www.econbiz.de/10010318448

A Bayesian semiparametric approach for endogeneity and heterogeneity in choice models

Li, Yang; Ansari, Asim - In: Management science : journal of the Institute for … 60 (2014) 5, pp. 1161-1179

Persistent link: https://www.econbiz.de/10010369849