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In a treatment effect model with unconfoundedness, treatment assignments are not only independent of potential outcomes given the covariates, but also given the propensity score alone. Despite this powerful dimension reduction property, adjusting for the propensity score is known to lead to an...
Persistent link: https://www.econbiz.de/10011486511
Propensity score matching is widely used in treatment evaluation to estimate average treatment effects. Nevertheless, the role of the propensity score is still controversial. Since the propensity score is usually unknown and has to be estimated, the efficiency loss arising from not knowing the...
Persistent link: https://www.econbiz.de/10011412472
In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...
Persistent link: https://www.econbiz.de/10011823274
We study nonparametric estimation of density functions for undirected dyadic random variables (i.e., random variables de?ned for all unordered pairs of agents/nodes in a weighted network of order N). These random variables satisfy a local dependence property: any random variables in the network...
Persistent link: https://www.econbiz.de/10012053034
Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimises the distance between a vector...
Persistent link: https://www.econbiz.de/10013130231
A class of local linear kernel density estimators based on weighted least squares kernel estimation is considered within the framework of Aalen's multiplicative intensity model. This model includes the filtered data model that, in turn, allows for truncation and/or censoring in addition to...
Persistent link: https://www.econbiz.de/10013323654
The generalized Pareto distribution (GPD) is probably the most popular model for inference on the tail of a distribution. The peaks-over-threshold methodology postulates the GPD as the natural model for excesses over a high threshold. However, for the GPD to fit such excesses well, the threshold...
Persistent link: https://www.econbiz.de/10014061423
smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative “robustness …
Persistent link: https://www.econbiz.de/10012833858
Tail expectations have recently attracted much attention in economics for their ability to capture risk. We develop a semiparametric estimator for the joint estimation of (nonlinear) models of tail expectations with some tail quantile as left or right threshold, and interquantile expectations,...
Persistent link: https://www.econbiz.de/10012854515
The shorth plot is a tool to investigate probability mass concentration. It is a graphical representation of the length of the shorth, the shortest interval covering a certain fraction of the distribution, localized by forcing the intervals considered to contain a given point x. It is easy to...
Persistent link: https://www.econbiz.de/10012725440