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Generalised instrumental variable models

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2013

The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) models to a wide class of problems in which multiple values of unobservable variables can be...

Persistent link: https://www.econbiz.de/10010827509

Adaptive nonparametric instrumental variables estimation: empirical choice of the regularisation parameter

Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

Persistent link: https://www.econbiz.de/10010827570

Consistent noisy independent component analysis

Bonhomme, Stéphane; Robin, Jean-Marc - Centre for Microdata Methods and Practice (CEMMAP) - 2008

We study linear factor models under the assumptions that factors are mutually independent and independent of errors, and errors can be correlated to some extent. Under factor non-Gaussianity, second to fourth-order moments are shown to yield full identification of the matrix of factor loadings....

Persistent link: https://www.econbiz.de/10005509543

Mixed hitting-time models

Abbring, Jaap - Centre for Microdata Methods and Practice (CEMMAP) - 2007

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...

Persistent link: https://www.econbiz.de/10005509544

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

Nonparametric estimation of homothetic and homothetically separable functions

Lewbel, Arthur; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2003

For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x,w) = h[g(x),w], g is linearly homogeneous and h is monotonic in g. This...

Persistent link: https://www.econbiz.de/10005509549

More on confidence intervals for partially identified parameters

Stoye, Jörg - Centre for Microdata Methods and Practice (CEMMAP) - 2008

. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This …

Persistent link: https://www.econbiz.de/10005509552

Reform of unemployment compensation in Germany: a nonparametric bounds analysis using register data

Sokbae 'Simon' Lee; Wilke, Ralf A. - Centre for Microdata Methods and Practice (CEMMAP) - 2005

Economic theory suggests that an extension of the maximum length of entitlement for unemployment benefits increases the duration of unemployment. Empirical results for the reform of the unemployment compensation system in Germany during the 1980s are less clear. The analysis in this paper is...

Persistent link: https://www.econbiz.de/10005509555

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Carneiro, Pedro; Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2009

) to the estimation of not only means, but also distributions of potential outcomes. The newly developed method is …

Persistent link: https://www.econbiz.de/10005509560

Who wears the trousers? A semiparametric analysis of decision power in couples

Lührmann, Melanie; Maurer, Jürgen - Centre for Microdata Methods and Practice (CEMMAP) - 2007

Decision processes among couples depend on the balance of power between the partners, determining the welfare of household members as well as household outcomes. However, little is known about the determinants of power. The collective model of household behavior gives an operational definition...

Persistent link: https://www.econbiz.de/10005509563