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Specification testing for conditional moment restrictions under local identification failure

Dovonon, Prosper; Gospodinov, Nikolaj - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 849-891

first-order local identification failure with dependent data. More specifically, we obtain conditions under which the … identification fails but global identification is still attainable. In the process, we derive some novel intermediate results that … include extending the first- and second-order local identification framework to models defined by conditional moment …

Persistent link: https://www.econbiz.de/10015053885

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced …

Persistent link: https://www.econbiz.de/10012202234

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

For typical sample sizes occurring in economic and financial applications, the squared bias of estimators for the memory parameter is small relative to the variance. Smoothing is therefore a suitable way to improve the performance in terms of the mean squared error. However, in an analysis of...

Persistent link: https://www.econbiz.de/10012312096

Outliers in semi-parametric estimation of treatment effects

Canavire-Bacarreza, Gustavo; Castro, Luis; Ontiveros, … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-32

Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of outliers. Bad and good leverage point outliers...

Persistent link: https://www.econbiz.de/10012547410

Are you a good borrower? : mining interpretable pattern structures in credit scoring

Kuznecov, Sergej O.; Masyutin, Alexey; Ageev, Aleksandr - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 67-85

Purpose - The purpose of this study is to show that closure-based classification and regression models provide both high accuracy and interpretability. Design/methodology/approach - Pattern structures allow one to approach the knowledge extraction problem in case of partially ordered...

Persistent link: https://www.econbiz.de/10012514905

Efficiency of university education : a partial frontier analysis

Viana, Rafael Antonio; Arranz, José M.; … - In: Latin American economic review : LAER ; official … 29 (2020), pp. 1-16

This article investigates the efficiency of the university education using two linked databases (Saber Pro and Saber 11) from the Colombian Institute for Evaluation of Education (ICFES) corresponding to 2014. We use a non-parametric frontier approach that combines the "order m" technique with...

Persistent link: https://www.econbiz.de/10012500298

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 29-61

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Persistent link: https://www.econbiz.de/10012807729

Nonparametric estimation of English auctions with selective entry : an application to online judicial auctions

Liu, Nianqing; Xu, Kexin - In: International studies of economics 19 (2024) 2, pp. 247-267

This paper proposes an estimation approach following the constructive identification strategy of Athey and Haile, and …

Persistent link: https://www.econbiz.de/10015063911

Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal …

Persistent link: https://www.econbiz.de/10013183970

Sensitivity analysis using approximate moment condition models

Armstrong, Timothy B.; Kolesár, Michal - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 77-108

intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard … order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into … the near-optimality of these CIs, we develop asymptotic efficiency bounds for inference in the locally misspecified GMM …

Persistent link: https://www.econbiz.de/10012432811