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A martingale representation for matching estimators
Abadie, Alberto; Imbens, Guido - 2009
matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of …Matching estimators are widely used in statistical data analysis. However, the distribution of matching estimators has … been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for …
Persistent link: https://www.econbiz.de/10003826104
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A martingale representation for matching estimators
Abadie, Alberto; Imbens, Guido W. - 2009
matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of …Matching estimators are widely used in statistical data analysis. However, the distribution of matching estimators has … been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for …
Persistent link: https://www.econbiz.de/10010269062
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Sheep in wolf's clothing : using the least squares criterion for quantile estimation
Chen, Heng - 2014
Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The intuition of quantile coupling is to divide the original observations...
Persistent link: https://www.econbiz.de/10010362928
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A Note on the Relation of Weighting and Matching Estimators
Lechner, Michael - 2007
This paper compares the inverse-probability-of-selection-weighting estimation principle with the matching principle and … derives conditions for weighting and matching to identify the same and the true distribution, respectively. This comparison …
Persistent link: https://www.econbiz.de/10012728898
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Understanding Limit Theorems for Semimartingales : A Short Survey
Podolskij, Mark - 2009
This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...
Persistent link: https://www.econbiz.de/10013155852
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Inference for the Jump Part of Quadratic Variation of Itô Semimartingales
Veraart, Almut - 2014
Recent research has focused on modelling asset prices by Itocirc; semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the...
Persistent link: https://www.econbiz.de/10012708910
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Mixed Semimartingales : Volatility Estimation in the Presence of Rough Noise
Chong, Carsten; Delerue, Thomas; Li, Guoying - 2021
We consider the problem of estimating volatility based on high-frequency data when the observed price process is a continuous Itô semimartingale contaminated by microstructure noise. Assuming that the noise process is compatible across different sampling frequencies, we argue that it typically...
Persistent link: https://www.econbiz.de/10013220217
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A Martingale Representation for Matching Estimators
Abadie, Alberto - 2010
article establishes a martingale representation for matching estimators. This representation allows the use of martingale …Matching estimators (Rubin, 1973a, 1977; Rosenbaum, 2002) are widely used in statistical data analysis. However, the … large sample distribution of matching estimators has been derived only for particular cases (Abadie and Imbens, 2006). This …
Persistent link: https://www.econbiz.de/10012757843
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A Martingale Representation for Matching Estimators
Abadie, Alberto - 2009
article establishes a martingale representation for matching estimators. This representation allows the use of martingale …Matching estimators (Rubin, 1973a, 1977; Rosenbaum, 2002) are widely used in statistical data analysis. However, the … large sample distribution of matching estimators has been derived only for particular cases (Abadie and Imbens, 2006). This …
Persistent link: https://www.econbiz.de/10012463891
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Correlation and efficiency of propensity score-based estimators for average causal effects
Pingel, Ronnie; Waernbaum, Ingeborg - 2015
matching, inverse probability weighting and doubly robust estimators change under the case of correlated covariates …
Persistent link: https://www.econbiz.de/10010479992