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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

Quantile treatment effects and bootstrap inference under covariate‐adaptive randomization

Zhang, Yichong; Zheng, Xin - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 957-982

In this paper, we study the estimation and inference of the quantile treatment effect under covariate …‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted … estimation and inference methods using both simulated and real datasets. …

Persistent link: https://www.econbiz.de/10012315784

Quantile treatment effects in difference in differences models with panel data

Callaway, Brantly; Li, Tong - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1579-1618

This paper considers identification and estimation of the Quantile Treatment Effect on the Treated (QTT) under a …

Persistent link: https://www.econbiz.de/10012202873

Inference on breakdown frontiers

Masten, Matthew A.; Poirier, Alexandre - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 41-111

Given a set of baseline assumptions, a breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value...

Persistent link: https://www.econbiz.de/10012202176

Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 1-28

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

Persistent link: https://www.econbiz.de/10012807725

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

Information theoretic approach to high-dimensional multiplicative models : stochastic discount factor and treatment effect

Qiu, Chen; Otsu, Taisuke - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 63-94

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high … on estimation of stochastic discount factors. …

Persistent link: https://www.econbiz.de/10012807732

Inference for matched tuples and fully blocked factorial designs

Bai, Yuehao; Liu, Jizhou; Tabord-Meehan, Max - In: Quantitative economics : QE ; journal of the … 15 (2024) 2, pp. 279-330

. We first study estimation and inference for matched tuples designs in the general setting where the parameter of interest …

Persistent link: https://www.econbiz.de/10015053066

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

Persistent link: https://www.econbiz.de/10013375264

Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space

Fan, Yanqin; Jiang, Shuo; Shi, Xuetao - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 893-938

Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and … equilibria. With payoff‐relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the …

Persistent link: https://www.econbiz.de/10015189765