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What is the value of knowing the propensity score for estimating average treatment effects?

Froelich, Markus - School of Economics and Political Science, Universität … - 2002

Propensity score matching is widely used in treatment evaluation to estimate average treatment effects. Nevertheless …

Persistent link: https://www.econbiz.de/10005797660

Nonparametric IV estimation of local average treatment effects with covariates

Froelich, Markus - School of Economics and Political Science, Universität … - 2002

In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies on much weaker assumptions than the...

Persistent link: https://www.econbiz.de/10005453938

A generalization of the balancing property of the propensity score

Froelich, Markus - School of Economics and Political Science, Universität … - 2002

Propensity score matching is a nonparametric technique frequently used for estimating average treatment effects. Yet … its applicability is not confined to treatment evaluation. In this paper the propensity score property is generalized to … the setting of selection on unobservables. It is shown that propensity score matching can be used to decompose effects due …

Persistent link: https://www.econbiz.de/10005453940

Programme Evaluation with Multiple Treatments

Froelich, Markus - School of Economics and Political Science, Universität … - 2002

This paper reviews the main identification and estimation strategies for microeconometric policy evaluation. Particular … nonparametric matching and weighting estimators of the average treatment effects and their properties are examined. …

Persistent link: https://www.econbiz.de/10005696723

Regression discontinuity design with covariates

Frölich, Markus - School of Economics and Political Science, Universität … - 2007

In this paper, the regression discontinuity design (RDD) is generalized to account for differences in observed covariates X in a fully nonparametric way. It is shown that the treatment effect can be estimated at the rate for one-dimensional nonparametric regression irrespective of the dimension...

Persistent link: https://www.econbiz.de/10005200689

A Note on the Relation of Weighting and Matching Estimators

Lechner, Michael - School of Economics and Political Science, Universität … - 2007

This paper compares the inverse-probability-of-selection-weighting estimation principle with the matching principle and … derives conditions for weighting and matching to identify the same and the true distribution, respectively. This comparison …

Persistent link: https://www.econbiz.de/10005200691

Quantile Regression in the Presence of Sample Selection

Huber, Martin; Melly, Blaise - School of Economics and Political Science, Universität … - 2011

Most sample selection models assume that the errors are independent of the regressors. Under this assumption, all quantile and mean functions are parallel, which implies that quantile estimators cannot reveal any (per definition non-existing) heterogeneity. However, quantile estimators are...

Persistent link: https://www.econbiz.de/10008874628

Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines

Audrino, Francesco; Meier, Pirmin - School of Economics and Political Science, Universität … - 2012

We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of the studies in the literature that use an indirect approach, i.e. first estimating the physical and risk-neutral densities and obtaining the pricing kernel in a second step, we...

Persistent link: https://www.econbiz.de/10010546947

Realized Copula

Fengler, Matthias; Okhrin, Ostap - School of Economics and Political Science, Universität … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010550484

Option trading strategies based on semi-parametric implied volatility surface prediction

Audrino, Francesco; Colangelo, Dominik - School of Economics and Political Science, Universität … - 2009

We propose constructing a set of trading strategies using predicted option returns for a relatively small forecasting period of ten trading days to form profitable hold-to-expiration, equally weighted, zero-cost portfolios based on 1-month at-the-money call and put options. We use a statistical...

Persistent link: https://www.econbiz.de/10004963497