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Quantile selection models : with an application to understanding changes in wage inequality

Arellano, Manuel; Bonhomme, Stéphane - 2015

We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing...

Persistent link: https://www.econbiz.de/10011405705

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … copulas may look highly persistent and are useful for financial and economic applications. We first show that Markov processes … generated via Clayton, Gumbel and Student’s t copulas (with tail dependence) are all geometric ergodic. We then propose a sieve …

Persistent link: https://www.econbiz.de/10003817253

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - 2014

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

Persistent link: https://www.econbiz.de/10010382148

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

Intersection bounds : estimation and inference

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

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is...

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

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

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

Horowitz, Joel - 2012

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 contolled by a regularisation parameter. The optimal...

Persistent link: https://www.econbiz.de/10009760143

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10009761386