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Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions

Ai, Chunrong; Chen, Xiaohong - 2009

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of … (2003) for semiparametric conditional moment restriction models with identical information sets to the case of nested … information sets, and those of Chamberlain (1992a) and Brown and Newey (1998) for models of sequential moment restrictions without …

Persistent link: https://www.econbiz.de/10003899088

Identification region of the potential outcome distributions under instrument independence

Kitagawa, Toru - 2009

This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...

Persistent link: https://www.econbiz.de/10003899093

The asymptotic variance of semi-parametric estimators with generated regressors

Hahn, Jinyong; Ridder, Geert - 2010

We study the asymptotic distribution of three-step estimators of a finite dimensional parameter vector where the second step consists of one or more nonparametric regressions on a regressor that is estimated in the first step. The first step estimator is either parametric or non-parametric....

Persistent link: https://www.econbiz.de/10008659887

Sharp identified sets for discrete variable IV models

Chesher, Andrew; Smolinski, Konrad - 2010

Instrumental variable models for discrete outcomes are set, not point, identifying. The paper characterises identi … ; Fourier-Motzkin Elimination ; Incomplete models ; Instrumental variables ; Set idenfication ; Threshold Crossing Models …

Persistent link: https://www.econbiz.de/10003989956

An empirical model for strategic network formation

Christakis, Nicholas A.; Fowler, James H.; Imbens, Guido; … - 2010

greatly simplifies the computational burden of anlyzing these models. We use Bayesian markov-chain-monte-carlo methods to …

Persistent link: https://www.econbiz.de/10003990080

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel; Lee, Sokbae - 2010

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

Persistent link: https://www.econbiz.de/10003990115

Quantile regression with censoring and endogeneity

Chernozhukov, Victor; Fernández-Val, Iván; Kowalski, … - 2011

In this paper, we develop a new censored quantile instrumental variable (CQIV)estimator and describe its properties and computation. The CQIV estimator combines Powell(1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to...

Persistent link: https://www.econbiz.de/10009153243

Conditional quantile processes based on series or many regressors

Belloni, Alexandre; Chernozhukov, Victor; … - 2011

Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR series framework, covering many regressors as a special...

Persistent link: https://www.econbiz.de/10009153247

Semiparametric structural models of binary response : shape restrictions and partial identification

Chesher, Andrew - 2011

The paper studies the partial identifying power of structural single equation threshold crossing models for binary … identified sets in a class of binary response models with mis-measured explanatory variables. -- Binary Response ; Endogeneity … ; Incomplete models ; Index Restrictions ; Instrumental variables ; Measurement Error Models ; Partial Identification ; Probit …

Persistent link: https://www.econbiz.de/10009306979

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011

a potentially infinite constraint set. Our approach is especially convenient for models comprised of a continuum of … inequalities that are separable in parameters, and also applies to models with inequalities that are non-separable in parameters …

Persistent link: https://www.econbiz.de/10009375645