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Finite-sample optimal estimation and inference on average treatment effects under unconfoundedness

Armstrong, Timothy B.; Kolesár, Michal - 2017

Persistent link: https://www.econbiz.de/10011797261

Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness

Armstrong, Timothy - 2018

) under the assumption of normal errors when the conditional mean of the outcome variable is constrained only by nonparametric … smoothness and/or shape restrictions. When the conditional mean is restricted to be Lipschitz with a large enough bound on the …

Persistent link: https://www.econbiz.de/10012931665

Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness

Armstrong, Timothy - 2019

mean of the outcome variable, we derive estimators and conﬁdence intervals (CIs) that are optimal inﬁnite samples when the … conditional mean. We also derive the minimum smoothness conditions on the conditional mean that are necessary for √n …-inference. When the conditional mean is restricted to be Lipschitz with a large enough bound on the Lipschitz constant, the optimal …

Persistent link: https://www.econbiz.de/10012895669

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS

Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …

Persistent link: https://www.econbiz.de/10005827087

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …

Persistent link: https://www.econbiz.de/10010884659

Parametric properties of semi-nonparametric distributions, with applications to option valuation

León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....

Persistent link: https://www.econbiz.de/10012530160

Distributional tests in multivariate dynamic models with normal and student t innovations

Mencía González, Javier; Sentana, Enrique - 2010

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10012530297

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS

Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008

Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions …

Persistent link: https://www.econbiz.de/10008518040

Distributional tests in multivariate dynamic models with Normal and Student t innovations

Mencía, Javier; Sentana, Enrique - Banco de España - 2009

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10008495372

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION

León, Ángel; Mencía, Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2005

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....

Persistent link: https://www.econbiz.de/10005611898