Showing 1 - 10 of 170
We consider a situation where a distribution is being estimated by the empirical distribution of noisy measurements. The measurements errors are allowed to be heteroskedastic and their variance may depend on the realization of the underlying random variable. We use an asymptotic embedding where...
Persistent link: https://www.econbiz.de/10011797613
We consider a situation where the distribution of a random variable is being estimated by the empirical distribution of noisy measurements of that variable. This is common practice in, for example, teacher value-added models and other fixed-effect models for panel data. We use an asymptotic...
Persistent link: https://www.econbiz.de/10012063831
We consider a situation where the distribution of a random variable is being estimated by the empirical distribution of noisy measurements of that variable. This is common practice in, for example, teacher value-added models and other fixed-effect models for panel data. We use an asymptotic...
Persistent link: https://www.econbiz.de/10012792731
This paper develops asymptotic theory for estimated parameters in differentiated product demand systems with a fixed number of products, as the number of markets T increases, taking into account that the market shares are approximated by Monte Carlo integration. It is shown that the estimated...
Persistent link: https://www.econbiz.de/10009580802
Often semiparametric estimators are asymptotically equivalent to a sample average. The object being averaged is referred to as the influence function. The influence function is useful in formulating primitive regularity conditions for asymptotic normality, in efficiency comparions, for bias...
Persistent link: https://www.econbiz.de/10011304726
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional...
Persistent link: https://www.econbiz.de/10011758045
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on...
Persistent link: https://www.econbiz.de/10011812268
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...
Persistent link: https://www.econbiz.de/10011997314
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...
Persistent link: https://www.econbiz.de/10011871311
This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are able to impose monotonicity of the estimated function....
Persistent link: https://www.econbiz.de/10011758353