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modeling
(565 results)-
White Papers
When Is A Copula Constant? A Test For Changing Relationships
Sep 2008
A copula defines the probability that observations from two time series lie below given quantiles. It is proposed that stationarity tests constructed from indicator variables be used to test...
Provided by University of Cambridge
-
White Papers
Model Averaging In Risk Management With An Application To Futures Markets
Feb 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of...
Provided by University of Cambridge
-
White Papers
Modeling The Phillips Curve With Unobserved Components
Jan 2008
The relationship between inflation and the output gap can be modeled simply and effectively by including an unobserved random walk component in the model. The dynamic properties match the stylized...
Provided by University of Cambridge
-
White Papers
Infinite Dimensional VARs And Factor Models
Nov 2007
This paper introduces a novel approach for dealing with the 'Curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are...
Provided by University of Cambridge
-
White Papers
Oilgopoly: A General Equilibrium Model Of The Oil-Macroeconomy Nexus
Dec 2009
Saudi Arabia is the largest player in the world oil market. It maintains ample spare capacity, restricts investment in developing reserves, and its output is negatively correlated with other OPEC...
Provided by Banco de España
-
White Papers
Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations
Dec 2009
The authors derive Lagrange Multiplier and Likelihood Ratio specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic...
Provided by Banco de España
-
White Papers
Solving Portfolio Problems With The Smolyak-Parameterized Expectations Algorithm
Feb 2009
The authors propose a new numerical method to solve stochastic models that combines the Parameterized Expectations (PEA) and the Smolyak algorithms. This method is especially convenient to address...
Provided by Banco de España
-
White Papers
The Impact Of Alternative Imputation Methods On The Measurement Of Income And Wealth: Evidence From The Spanish Survey Of Household Finances
Dec 2008
The goal of this paper is to emphasise the importance of the way of handling missing data and its impact on the outcome of empirical studies. Using the 2002 wave of the Spanish Survey of Household...
Provided by Banco de España
-
White Papers
Modelling Heterogeneity And Dynamics In The Volatility Of Individual Wages
Jan 2008
In this paper, the author considers a model for the heterogeneity and dynamics of the conditional mean and the conditional variance of standardized individual wages. In particular, the author...
Provided by Banco de España
-
White Papers
Penalized Sieve Estimation And Inference Of Semi-nonparametric Dynamic Models: A Selective Review
May 2011
In this selective review, the authors first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. They...
Provided by Yale University
-
White Papers
A Practical Asymptotic Variance Estimator For Two-step Semiparametric Estimators
May 2011
The goal of this paper is to develop techniques to simplify semiparametric inference. The authors do this by deriving a number of numerical equivalence results. These illustrate that in many...
Provided by Yale University
-
White Papers
Empirical Likelihood For Regression Discontinuity Design
May 2011
This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. The authors consider both the sharp and fuzzy regression...
Provided by Yale University
-
White Papers
Large Deviations Of Realized Volatility
May 2011
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. The authors establish a large deviation principle for the realized...
Provided by Yale University
-
White Papers
Quantile Regression With Censoring And Endogeneity
Apr 2011
In this paper, the authors develop a new Censored Quantile Instrumental Variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) Censored...
Provided by Yale University
-
White Papers
Robustness Of Bootstrap In Instrumental Variable Regression
Apr 2011
This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, the authors compare the uniform weight and implied probability bootstrap...
Provided by Yale University
-
White Papers
Local Identification Of Nonparametric And Semiparametric Models
Apr 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. The authors...
Provided by Yale University
-
White Papers
Breakdown Point Theory For Implied Probability Bootstrap
Apr 2011
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, the authors compare the uniform weight and implied probability bootstraps by analyzing...
Provided by Yale University
-
White Papers
Empirical Likelihood For Nonparametric Additive Models
Apr 2011
Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of...
Provided by Yale University
-
White Papers
Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions
Apr 2011
This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. The authors show that the empirical...
Provided by Yale University
-
White Papers
Hodges-Lehmann Optimality For Testing Moment
Mar 2011
This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a...
Provided by Yale University
-
White Papers
Identification In A Class Of Nonparametric Simultaneous Equations Models
Mar 2011
The authors consider identification in a class of nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement...
Provided by Yale University
-
White Papers
Moderate Deviations Of Generalized Method Of Moments And Empirical Likelihood Estimators
Feb 2011
This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of...
Provided by Yale University
-
White Papers
Folklore Theorems, Implicit Maps And New Unit Root Limit Theory
Jan 2011
The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of...
Provided by Yale University
-
White Papers
First Difference MLE And Dynamic Panel Estimation
Jan 2011
First Difference Maximum Likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root,...
Provided by Yale University
-
White Papers
Specification Testing For Nonlinear Cointegrating Regression
Feb 2011
The authors provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework...
Provided by Yale University
-
White Papers
Inconsistent VAR Regression With Common Explosive Roots
Jan 2011
Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a...
Provided by Yale University
-
White Papers
Interdependent Preferences And Strategic Distinguishability
Sep 2010
A universal type space of interdependent expected utility preference types is constructed from higher-order preference hierarchies describing an agent's (unconditional) preferences over a lottery...
Provided by Yale University
-
White Papers
Semiparametric Estimation In Time Series Of Simultaneous Equations
Sep 2010
A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric...
Provided by Yale University
-
White Papers
Nonlinear Cointegrating Regression Under Weak Identification
Sep 2010
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises...
Provided by Yale University
-
White Papers
Identifying Finite Mixtures In Econometric Models
Sep 2010
Mixtures of distributions are present in many econometric models, such as models with unobserved heterogeneity. It is thus crucial to have a general approach to identify them nonparametrically....
Provided by Yale University
-
White Papers
Inference Based On Conditional Moment Inequalities
Jun 2010
In this paper, the authors propose an instrumental variable approach to constructing Confidence Sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities....
Provided by Yale University
-
White Papers
Introduction To Judgment Aggregation
Feb 2010
This introduces the symposium on judgment aggregation. The theory of judgment aggregation asks how several individuals' judgments on some logically connected propositions can be aggregated into...
Provided by Yale University
-
White Papers
Two New Zealand Pioneer Econometricians
Jan 2010
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed...
Provided by Yale University
-
White Papers
Optimal Estimation Under Nonstandard Conditions
Jan 2010
The authors analyze optimality properties of Maximum Likelihood (ML) and other estimators when the problem does not necessarily fall within the Locally Asymptotically Normal (LAN) class, therefore...
Provided by Yale University
-
White Papers
X-Differencing And Dynamic Panel Model Estimation
Jan 2010
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing,...
Provided by Yale University
-
White Papers
A Specification Test For Instrumental Variables Regression With Many Instruments
Dec 2009
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica...
Provided by Yale University
-
White Papers
Nonparametric Tests Of Conditional Treatment Effects
Nov 2009
The authors develop a general class of nonparametric tests for treatment effects conditional on covariates. They consider a wide spectrum of null and alternative hypotheses regarding conditional...
Provided by Yale University
-
White Papers
Uniform Topologies On Types
Oct 2009
The authors study the robustness of interim correlated rationalizability to perturbations of higher-order beliefs. They introduce a new metric topology on the universal type space; called uniform...
Provided by Yale University
-
White Papers
Identification Of A Heterogeneous Generalized Regression Model With Group Effects
Oct 2009
The authors consider identification in a "Generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "Group" whose members are subject to a...
Provided by Yale University
-
White Papers
Semiparametric Efficiency Bound For Models Of Sequential Moment Restrictions Containing Unknown Functions
Oct 2009
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. The results extend...
Provided by Yale University
-
White Papers
Microscopic Reasoning For The Non-linear Stochastic Models Of Long-range Memory
Jun 2011
The authors extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets....
Provided by Vilnius University
-
White Papers
Equilibrium With Exponential Utility And Non-negative Consumption
Jun 2011
The authors study a multi-period Arrow-Debreu equilibrium in a heterogeneous economy populated by agents trading in a complete market. Each agent is represented by an exponential utility function,...
Provided by ETH Zurich
-
White Papers
Goodness-of-fit Tests With Dependent Observations
Jun 2011
The authors revisit the Kolmogorov-Smirnov and Cram´er-von Mises Goodness-of-Fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variables....
Provided by Capital Fund Management
-
White Papers
Explaining The Energy Consumption Portfolio In A Cross-section Of Countries: Are The BRICs Different?
Feb 2011
This paper uses disaggregated data from a broad cross-section of countries to empirically assess differences in energy consumption profiles across countries. The authors find empirical support for...
Provided by Board of Governors of the Federal Reserve System
-
White Papers
Social Costs Of Mass Privatization
Sep 2007
According to leading economic theorists, creating capitalism out of communism requires rapid privatization. In this paper, the authors empirically test the welfare implications of privatization...
Provided by University of Michigan
-
White Papers
Modeling Transition In Central Asia: The Case Of Kazakhstan
Oct 2010
This paper presents a small macro-econometric model of Kazakhstan to study the impact of various economic policies. It uses a new approach to test the existence of a level relationship between a...
Provided by University of Michigan
-
White Papers
Modeling Institutions, Start-Ups And Productivity During Transition
Feb 2010
The transition paths from plan to market have varied markedly across countries. Central and Eastern European and the Baltic countries, which opted for a fast and profound transformation of their...
Provided by University of Michigan
-
White Papers
Pollution Abatement And Control Expenditure In Romania: A Multilevel Analysis
Jun 2010
The transition process in Central and Eastern Europe was associated with growing environmental awareness. This paper analyses the determinants of Pollution Abatement and Control Expenditure (PACE)...
Provided by University of Michigan
-
White Papers
EU Enlargement And Monetary Regimes From The Insurance Model Perspectives
Jun 2010
Some ten years ago, Michael Dooley (Dooley, 1997; Dooley, 2000) put forward an insurance model of currency crises, which after some modifications gives a good theoretical basis for explanation of...
Provided by University of Michigan
-
White Papers
Strategic Distinguishability With An Application To Robust Virtual Implementation
Jun 2007
In a general interdependent preference environment, the authors characterize when two payoff types can be distinguished by their rationalizable strategic choices without any prior knowledge of...
Provided by Yale University
-
White Papers
Long Run Covariance Matrices For Fractionally Integrated Processes
Jun 2007
Stationary long memory processes have extensive applications in economics and finance, particularly with regard to modeling financial variables like volatility and trading volume. The...
Provided by Yale University
-
White Papers
Exact Distribution Theory In Structural Estimation With An Identity
Jun 2007
Some exact distribution theory is developed for structural equation models with and without identities. The theory includes LIML, IV and OLS. The authors relate the new results to earlier studies...
Provided by Yale University
-
White Papers
Marshall~s Theory Of Value And The Strong Law Of Demand
Jul 2007
The authors show that all the fundamental properties of competitive equilibrium in Marshall's theory of value, as presented in Note XXI of the mathematical appendix to his Principles of Economics...
Provided by Yale University
-
White Papers
Probabilistic Sophistication And Stochastic Monotonicity In The Savage Framework
Aug 2007
Machina & Schmeidler (1992) show that probabilistic sophistication can be obtained in a Savage setting without imposing expected utility by dropping Savage's axiom P2 (sure-thing principle) and...
Provided by Yale University
-
White Papers
The Role Of The Common Prior In Robust Implementation
Sep 2007
The authors consider the role of the common prior for robust implementation in an environment with interdependent values. Specifically, they investigate a model of public good provision which...
Provided by Yale University
-
White Papers
Inference For Parameters Defined By Moment Inequalities Using Generalized Moment Selection
Oct 2007
The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new...
Provided by Yale University
-
White Papers
Estimating Term Structure Equations Using Macroeconomic Variables
Jan 2008
This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are...
Provided by Yale University
-
White Papers
Estimating Exchange Rate Equations Using Estimated Expectations
Jan 2008
This paper takes a somewhat different approach from the recent literature in estimating exchange rate equations. It assumes uncovered interest rate parity and models how expectations are formed....
Provided by Yale University
-
White Papers
A 'Dual'-Improved Shortcut To The Long Run
Mar 2008
The author uses the theories of duality and optimal branchings to find a necessary and sufficient characterization of Stochastically Stable Limit Sets (SSLS) that helps improve the radius -...
Provided by Yale University
-
White Papers
Semiparametric Efficiency In GMM Models Of Nonclassical Measurement Errors, Missing Data And Treatment Effects
Mar 2008
The authors study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the...
Provided by Yale University
-
White Papers
Estimation Of Nonparametric Conditional Moment Models With Possibly Nonsmooth Moments
Apr 2008
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a...
Provided by Yale University
-
White Papers
The Impact Of A Hausman Pretest On The Size Of Hypothesis Tests
Apr 2008
This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of...
Provided by Yale University
-
White Papers
Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past
May 2008
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial...
Provided by Yale University
-
White Papers
Long Memory And Long Run Variation
May 2008
A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered working from...
Provided by Yale University
-
White Papers
Structural Nonparametric Cointegrating Regression
May 2008
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly...
Provided by Yale University
-
White Papers
Robust Implementation In General Mechanisms
Jun 2008
A social choice function is robustly implemented if every equilibrium on every type space achieves outcomes consistent with it. The authors identify a robust monotonicity condition that is...
Provided by Yale University
-
White Papers
Rationalizing Choice With Multi-Self Models
Oct 2009
To facilitate systematic study of multi-self decision making, this paper proposes an axiomatic framework that encompasses a variety of models proposed in economics, psychology, and marketing. The...
Provided by Yale University
-
White Papers
Invalidity Of The Bootstrap And The m Out Of n Bootstrap For Interval Endpoints Defined By Moment Inequalities
Jul 2008
This paper analyzes the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods for constructing Confidence Interval (CI) endpoints in models defined by...
Provided by Yale University
-
White Papers
Copula-Based Nonlinear Quantile Autoregression
Oct 2008
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series...
Provided by Yale University
-
White Papers
A Principal-Agent Model Of Sequential Testing
Oct 2008
This paper analyzes the optimal provision of incentives in a sequential testing context. In every period the agent can acquire costly information that is relevant to the principal's decision....
Provided by Yale University
-
White Papers
Estimation And Model Selection Of Semiparametric Multivariate Survival Functions Under General Censorship
Nov 2008
Many models of semiparametric multivariate survival functions are characterized by nonparametric marginal survival functions and parametric copula functions, where different copulas imply...
Provided by Yale University
-
White Papers
An Analysis Of The Dismal Theorem
Jan 2009
In a series of papers, Martin Weitzman has proposed a Dismal Theorem. The general idea is that, under limited conditions concerning the structure of uncertainty and preferences, society has an...
Provided by Yale University
-
White Papers
Asymptotic Theory For Zero Energy Density Estimation With Nonparametric Regression Applications
Jan 2009
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in...
Provided by Yale University
-
White Papers
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity
Jan 2009
The authors analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample...
Provided by Yale University
-
White Papers
Efficient Estimation Of Copula-based Semiparametric Markov Models
Mar 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal)...
Provided by Yale University
-
White Papers
Principal Components And Long Run Implications Of Multivariate Diffusions
Apr 2009
The authors investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to smoothness and orthogonality constraints; but they allow...
Provided by Yale University
-
White Papers
Rationalizable Implementation
May 2009
This paper studies (full) implementation of social choice functions under complete information in (correlated) rationalizable strategies. The monotonicity condition shown by Maskin (1999) to be...
Provided by Yale University
-
White Papers
Dynamic Misspecification In Nonparametric Cointegrating Regression
Jun 2009
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit...
Provided by Yale University
-
White Papers
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression
Jun 2009
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is...
Provided by Yale University
-
White Papers
An Improved Bootstrap Test Of Stochastic Dominance
Jul 2009
The authors propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as...
Provided by Yale University
-
White Papers
Model Averaging In Risk Management With An Application To Futures Markets
Feb 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of...
Provided by University of Cambridge
-
White Papers
Modeling The Phillips Curve With Unobserved Components
Jan 2008
The relationship between inflation and the output gap can be modeled simply and effectively by including an unobserved random walk component in the model. The dynamic properties match the stylized...
Provided by University of Cambridge
-
White Papers
Infinite Dimensional VARs And Factor Models
Nov 2007
This paper introduces a novel approach for dealing with the 'Curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are...
Provided by University of Cambridge
-
White Papers
Oilgopoly: A General Equilibrium Model Of The Oil-Macroeconomy Nexus
Dec 2009
Saudi Arabia is the largest player in the world oil market. It maintains ample spare capacity, restricts investment in developing reserves, and its output is negatively correlated with other OPEC...
Provided by Banco de España
-
White Papers
Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations
Dec 2009
The authors derive Lagrange Multiplier and Likelihood Ratio specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic...
Provided by Banco de España
-
White Papers
Solving Portfolio Problems With The Smolyak-Parameterized Expectations Algorithm
Feb 2009
The authors propose a new numerical method to solve stochastic models that combines the Parameterized Expectations (PEA) and the Smolyak algorithms. This method is especially convenient to address...
Provided by Banco de España
-
White Papers
The Impact Of Alternative Imputation Methods On The Measurement Of Income And Wealth: Evidence From The Spanish Survey Of Household Finances
Dec 2008
The goal of this paper is to emphasise the importance of the way of handling missing data and its impact on the outcome of empirical studies. Using the 2002 wave of the Spanish Survey of Household...
Provided by Banco de España
-
White Papers
Modelling Heterogeneity And Dynamics In The Volatility Of Individual Wages
Jan 2008
In this paper, the author considers a model for the heterogeneity and dynamics of the conditional mean and the conditional variance of standardized individual wages. In particular, the author...
Provided by Banco de España
-
White Papers
Penalized Sieve Estimation And Inference Of Semi-nonparametric Dynamic Models: A Selective Review
May 2011
In this selective review, the authors first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. They...
Provided by Yale University
-
White Papers
A Practical Asymptotic Variance Estimator For Two-step Semiparametric Estimators
May 2011
The goal of this paper is to develop techniques to simplify semiparametric inference. The authors do this by deriving a number of numerical equivalence results. These illustrate that in many...
Provided by Yale University
-
White Papers
Empirical Likelihood For Regression Discontinuity Design
May 2011
This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. The authors consider both the sharp and fuzzy regression...
Provided by Yale University
-
White Papers
Large Deviations Of Realized Volatility
May 2011
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. The authors establish a large deviation principle for the realized...
Provided by Yale University
-
White Papers
Quantile Regression With Censoring And Endogeneity
Apr 2011
In this paper, the authors develop a new Censored Quantile Instrumental Variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) Censored...
Provided by Yale University
-
White Papers
Robustness Of Bootstrap In Instrumental Variable Regression
Apr 2011
This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, the authors compare the uniform weight and implied probability bootstrap...
Provided by Yale University
-
White Papers
Local Identification Of Nonparametric And Semiparametric Models
Apr 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. The authors...
Provided by Yale University
-
White Papers
Breakdown Point Theory For Implied Probability Bootstrap
Apr 2011
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, the authors compare the uniform weight and implied probability bootstraps by analyzing...
Provided by Yale University
-
White Papers
Empirical Likelihood For Nonparametric Additive Models
Apr 2011
Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of...
Provided by Yale University
-
White Papers
Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions
Apr 2011
This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. The authors show that the empirical...
Provided by Yale University
-
White Papers
Hodges-Lehmann Optimality For Testing Moment
Mar 2011
This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a...
Provided by Yale University
-
White Papers
Identification In A Class Of Nonparametric Simultaneous Equations Models
Mar 2011
The authors consider identification in a class of nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement...
Provided by Yale University
-
White Papers
Moderate Deviations Of Generalized Method Of Moments And Empirical Likelihood Estimators
Feb 2011
This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of...
Provided by Yale University
-
White Papers
Folklore Theorems, Implicit Maps And New Unit Root Limit Theory
Jan 2011
The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of...
Provided by Yale University
-
White Papers
First Difference MLE And Dynamic Panel Estimation
Jan 2011
First Difference Maximum Likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root,...
Provided by Yale University
-
White Papers
Specification Testing For Nonlinear Cointegrating Regression
Feb 2011
The authors provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework...
Provided by Yale University
-
White Papers
Inconsistent VAR Regression With Common Explosive Roots
Jan 2011
Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a...
Provided by Yale University
-
White Papers
Interdependent Preferences And Strategic Distinguishability
Sep 2010
A universal type space of interdependent expected utility preference types is constructed from higher-order preference hierarchies describing an agent's (unconditional) preferences over a lottery...
Provided by Yale University
-
White Papers
Semiparametric Estimation In Time Series Of Simultaneous Equations
Sep 2010
A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric...
Provided by Yale University
-
White Papers
Nonlinear Cointegrating Regression Under Weak Identification
Sep 2010
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises...
Provided by Yale University
-
White Papers
Identifying Finite Mixtures In Econometric Models
Sep 2010
Mixtures of distributions are present in many econometric models, such as models with unobserved heterogeneity. It is thus crucial to have a general approach to identify them nonparametrically....
Provided by Yale University
-
White Papers
Inference Based On Conditional Moment Inequalities
Jun 2010
In this paper, the authors propose an instrumental variable approach to constructing Confidence Sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities....
Provided by Yale University
-
White Papers
Introduction To Judgment Aggregation
Feb 2010
This introduces the symposium on judgment aggregation. The theory of judgment aggregation asks how several individuals' judgments on some logically connected propositions can be aggregated into...
Provided by Yale University
-
White Papers
Two New Zealand Pioneer Econometricians
Jan 2010
Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most famous and well-documented mental arithmeticians of all time, contributed...
Provided by Yale University
-
White Papers
Optimal Estimation Under Nonstandard Conditions
Jan 2010
The authors analyze optimality properties of Maximum Likelihood (ML) and other estimators when the problem does not necessarily fall within the Locally Asymptotically Normal (LAN) class, therefore...
Provided by Yale University
-
White Papers
X-Differencing And Dynamic Panel Model Estimation
Jan 2010
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing,...
Provided by Yale University
-
White Papers
A Specification Test For Instrumental Variables Regression With Many Instruments
Dec 2009
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica...
Provided by Yale University
-
White Papers
Nonparametric Tests Of Conditional Treatment Effects
Nov 2009
The authors develop a general class of nonparametric tests for treatment effects conditional on covariates. They consider a wide spectrum of null and alternative hypotheses regarding conditional...
Provided by Yale University
-
White Papers
Uniform Topologies On Types
Oct 2009
The authors study the robustness of interim correlated rationalizability to perturbations of higher-order beliefs. They introduce a new metric topology on the universal type space; called uniform...
Provided by Yale University
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White Papers
Identification Of A Heterogeneous Generalized Regression Model With Group Effects
Oct 2009
The authors consider identification in a "Generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "Group" whose members are subject to a...
Provided by Yale University
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White Papers
Semiparametric Efficiency Bound For Models Of Sequential Moment Restrictions Containing Unknown Functions
Oct 2009
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. The results extend...
Provided by Yale University
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White Papers
Subjectivity In Inductive Inference
Aug 2009
This paper examines circumstances under which subjectivity enhances the effectiveness of inductive reasoning. The authors consider a game in which Fate chooses a data generating process and agents...
Provided by Yale University
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