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Locally- but not globally-identified SVAR

Bacchiocchi, Emanuele; Kitagawa, Toru - 2020 - This draft: 20 July 2020

fail to explore all the modes. This paper overcomes these challenges by proposing novel estimation and inference procedures …

Persistent link: https://www.econbiz.de/10012251913

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …

Persistent link: https://www.econbiz.de/10010469057

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10010190487

Semi-nonparametric IV estimation of shape-invariant Engel curves

Blundell, Richard W. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835887

Identification of treatment effects under limited exogenous variation

Newey, Whitney K.; Stouli, Sami - 2025 - Date: January 24, 2025

Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support conditions. To alleviate this requirement, we consider varying...

Persistent link: https://www.econbiz.de/10015191459

Point-identifying semiparametric sample selection models with no excluded variable

Kim, Dongwoo; Lee, Young Jun - 2025

Sample selection is pervasive in applied economic studies. This paper develops semiparametric selection models that achieve point identification without relying on exclusion restrictions, an assumption long believed necessary for identification in semiparametric selection models. Our...

Persistent link: https://www.econbiz.de/10015198476

Testing multivariate economic restrictions using quantiles : the example of Slutsky negative semidefiniteness

Dette, Holger; Hoderlein, Stefan; Neumeyer, Natalie - 2011

This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a...

Persistent link: https://www.econbiz.de/10009008722

Testing for a general class of functional inequalities

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

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...

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

Nonparametric spectral-based estimation of latent structures

Bonhomme, Stéphane; Jochmans, Koen; Robin, Jean-Marc - 2014 - This version: March 6, 2014

We present a constructive identification proof of p-linear decompositions of q-way arrays. The analysis is based on the joint spectral decomposition of a set of matrices. It has applications in the analysis of a variety of latent-structure models, such as q-variate mixtures of p distributions....

Persistent link: https://www.econbiz.de/10010336464

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 … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

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