Search Results - subject:"ESTIMATOR"

Asimit, Vali; Chen, Ziwei; Ichim, Bogdan; Millossovich, … - In: Risks : open access journal 14 (2026) 4, pp. 1-31

estimator, named Parity Regression, and benchmark its analytical properties against existing penalised and shrinkage estimators …

Persistent link: https://www.econbiz.de/10015640354

Heterogeneous effects and the interpretation of OLS coefficient movements

Weinhardt, Felix - 2026

Applied researchers commonly interpret coefficient movements across OLS and difference-in-differences specifications with varying controls as evidence of bias reduction or improved identification. This note shows that such interpretations generally fail under heterogeneous treatment effects. In...

Persistent link: https://www.econbiz.de/10015634009

Improving the sampling strategy for the community innovation survey using machine learning algorithms

Klingwort, Jonas; Berkel, Kees van; Brakel, Jan A. van den - 2026

Persistent link: https://www.econbiz.de/10015619569

Estimating a function and its derivatives under a smoothness condition

Lim, Eunji - In: Mathematics of operations research 50 (2025) 2, pp. 1112-1138

Persistent link: https://www.econbiz.de/10015444097

A least-squares filter for sequence-space models

Dinis Rigato, Rodolfo - 2026

Sequence-space models are becoming increasingly popular in macroeconomics, especially in the heterogeneous-agent literature. However, the econometric toolkit for users of these models remains less developed than that available for traditional state-space methods. This note introduces an...

Persistent link: https://www.econbiz.de/10015606824

Cointegrating polynomial regressions : robustness of fully modified OLS

Stypka, Oliver; Wagner, Martin; Grabarczyk, Peter; … - In: Econometric theory 41 (2025) 3, pp. 688-708

Persistent link: https://www.econbiz.de/10015449574

Linear regression with weak exogeneity

Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403

time‐series regressions with many controls may produce substantial biases and render the least squares (OLS) estimator … that yields a new estimator with improved properties relative to OLS. We establish consistency and conditional asymptotic … Gaussianity of this new estimator and provide a method for inference. …

Persistent link: https://www.econbiz.de/10015423082

Continuous-time impulse response functions with functional approaches and mixed-frequency data

Doz, Catherine; Ferrara, Laurent; Simoni, Anna - 2026

Persistent link: https://www.econbiz.de/10015644073

Estimating efficiency effects in a stochastic frontier model with heteroskedastic errors

Shankar, Sriram - In: Journal of economic structures : JES; the official … 14 (2025) 1, pp. 1-11

In this paper, we introduce a stochastic frontier model that incorporates efficiency effects and a heteroskedastic error structure. The mean efficiency is specified by a logistic function of the effects variables and the distribution for the one-sided random variable representing inefficiency is...

Persistent link: https://www.econbiz.de/10015626691

Quantifying the internal validity of weighted estimands

Poirier, Alexandre; Słoczyński, Tymon - 2025

In this paper we study a class of weighted estimands, which we define as parameters that can be expressed as weighted averages of the underlying heterogeneous treatment effects. The popular ordinary least squares (OLS), two-stage least squares (2SLS), and two-way fixed effects (TWFE) estimands...

Persistent link: https://www.econbiz.de/10015334778