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Minimizing sensitivity to model misspecification

Bonhomme, Stéphane; Weidner, Martin - 2018

We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to...

Persistent link: https://www.econbiz.de/10011912653

Minimizing sensitivity to model misspecification

Bonhomme, Stéphane; Weidner, Martin - 2020

We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model,...

Persistent link: https://www.econbiz.de/10012241904

Posterior average effects

Bonhomme, Stéphane; Weidner, Martin - 2020

robustness properties of PAE for estimation and prediction. As illustrations, we report PAE estimates of distributions of …

Persistent link: https://www.econbiz.de/10012295267

Posterior average effects

Bonhomme, Stéphane; Weidner, Martin - 2019

establish two robustness properties of posterior average effects under misspecification of the assumed distribution of …-case bias within a large class of estimators. We establish related robustness results for posterior predictors. In addition, we …

Persistent link: https://www.econbiz.de/10012063813

Posterior average effects

Bonhomme, Stéphane; Weidner, Martin - 2021 - Revised draft: September 2021

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...

Persistent link: https://www.econbiz.de/10012617686

Adapting to misspecification

Armstrong, Timothy B.; Kline, Patrick; Sun, Liyang - 2024

Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar …

Persistent link: https://www.econbiz.de/10015073234

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …

Persistent link: https://www.econbiz.de/10010254852

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

using the bootstrap. An empirical application illustrates the usefulness of shape restrictions for carrying out …

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

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …

Persistent link: https://www.econbiz.de/10010190476

A test for instrument validity

Kitagawa, Toru - 2014 - This draft: August, 2014

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Persistent link: https://www.econbiz.de/10010392075