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Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2006

enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are …

Persistent link: https://www.econbiz.de/10005509534

Higher order properties of GMM and generalised empirical likelihood estimators

Newey, Whitney; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

asymptotic bias due to correlation of the moment functions with their Jacobian, eliminating an important source of bias for GMM …

Persistent link: https://www.econbiz.de/10005509541

Estimating average marginal effects in nonseparable structural systems

Schennach, Susanne; White, Halbert; Chalak, Karim - Centre for Microdata Methods and Practice (CEMMAP) - 2007

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...

Persistent link: https://www.econbiz.de/10005509545

Quantiles for counts

Machado, Jose A. F.; Silva, J. M. C. Santos - Centre for Microdata Methods and Practice (CEMMAP) - 2002

This paper studies the estimation of conditional quantiles of counts. Given the discreteness of the data, some …

Persistent link: https://www.econbiz.de/10005509547

Maximal uniform convergence rates in parametric estimation problems

Beckert, Walter; McFadden, Daniel - Centre for Microdata Methods and Practice (CEMMAP) - 2007

This paper considers parametric estimation problems with independent, identically,non-regularly distributed data … an optimality criterion,largely unexplored in parametric estimation.Under mild conditions, the Hellinger metric … maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation …

Persistent link: https://www.econbiz.de/10005509550

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2007

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

Persistent link: https://www.econbiz.de/10005509554

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Newey, Whitney K.; Ramalho, Joaquim J. S.; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...

Persistent link: https://www.econbiz.de/10005509558

Nonparametric instrumental variables estimation of a quantile regression model

Horowitz, Joel; Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2006

We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of …

Persistent link: https://www.econbiz.de/10005509561

Identifying the returns to lying when the truth is unobserved

Hu, Yingyao; Lewbel, Arthur - Centre for Microdata Methods and Practice (CEMMAP) - 2008

variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0 …

Persistent link: https://www.econbiz.de/10005509568

Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Chen, Xiaohong; Christensen, Timothy - Centre for Microdata Methods and Practice (CEMMAP) - 2013

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Persistent link: https://www.econbiz.de/10010827532