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attention to a widely employed semiparametric shape restriction which requires the threshold crossing function to be a monotone …
Persistent link: https://www.econbiz.de/10010288364
This paper studies inference of preference parameters in semiparametric discrete choice models when these parameters … the semiparametric modeling restrictions, we show that the identified set can be equivalently formulated by moment … variety of semiparametric models under which the sign of conditional expectation of a certain transformation of the outcome is …
Persistent link: https://www.econbiz.de/10011775363
theory often provides such shape restrictions. This paper shows that they restrict L(g) to an interval whose upper and lower …
Persistent link: https://www.econbiz.de/10009554348
restrictions, such as monotonicity or convexity, for achieving interval identification of L(g). Economic theory often provides such …
Persistent link: https://www.econbiz.de/10009761386
Most empirical and theoretical econometric studies of dynamic discrete choice models assume the discount factor to be known. We show the knowledge of the discount factor is not necessary to identify parts, or all, of the payoff function. We show the discount factor can be generically identified...
Persistent link: https://www.econbiz.de/10012950194
This chapter discusses identification of common selection models of the labor market. We start with the classic Roy model and show how it can be identified with exclusion restrictions. We then extend the argument to the generalized Roy model, treatment effect models, duration models, search...
Persistent link: https://www.econbiz.de/10014025127
attention to a widely employed semiparametric shape restriction which requires the threshold crossing function to be a monotone … identified sets in a class of binary response models with mis-measured explanatory variables. -- Binary Response ; Endogeneity …
Persistent link: https://www.econbiz.de/10009306979
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
copulas, which allow us to model the effect of a covariate driving the strength of dependence between the main variables. We … propose a flexible Bayesian nonparametric approach for the estimation of conditional copulas, which can model any conditional …
Persistent link: https://www.econbiz.de/10012969727
Persistent link: https://www.econbiz.de/10012586151