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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

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

Bias and consistency in three-way gravity models

Weidner, Martin; Zylkin, Thomas - 2020

We study the incidental parameter problem in "three-way" Poisson Pseudo-Maximum Likelihood "PPML" gravity models recently recommended for identifying the effects of trade policies. Despite the number and variety of fixed effects this model entails, we confirm it is consistent for small T and we...

Persistent link: https://www.econbiz.de/10012152495

Bias and consistency in three-way gravity models

Weidner, Martin; Zylkin, Thomas - 2021

We study the incidental parameter problem for the "three-way" Poisson Pseudo-Maximum Likelihood ("PPML") estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite the number and variety of fixed effects involved, we confirm...

Persistent link: https://www.econbiz.de/10012482900

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.ed sets of structural functions when endogenous variables are discrete. Identi.ed sets are unions of large numbers of convex sets and may not be convex nor even connected. Each of...

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

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 responses when explanatory variables may be endogenous. The paper derives the sharp identified set of threshold functions for the case in which explanatory variables are discrete...

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

What do instrumental variable models deliver with discrete dependent variables?

Chesher, Andrew; Rosen, Adam M. - 2013

We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...

Persistent link: https://www.econbiz.de/10009718426

An instrumental variable random coefficients model for binary outcomes

Chesher, Andrew; Rosen, Adam M. - 2012

In this paper we study a random coefficient model for a binary outcome. We allow for the possibility that some or even all of the regressors are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are...

Persistent link: https://www.econbiz.de/10009667991

IV models of ordered choice

Chesher, Andrew; Smolinski, Konrad - 2009

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying...

Persistent link: https://www.econbiz.de/10003908575

Simultaneous equations models for discrete outcomes : coherence, completeness, and identification

Chesher, Andrew; Rosen, Adam M. - 2012

This paper studies simultaneous equations models for two or more discrete outcomes. These models may be incoherent, delivering no values of the outcomes at certain values of the latent variables and covariates, and they may be incomplete, delivering more than one value of the outcomes at certain...

Persistent link: https://www.econbiz.de/10009580790