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We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this model is … asymptotic distributions of the estimators of the parameters of the spectral distribution of the Kronecker product correlation …
Persistent link: https://www.econbiz.de/10011557633
We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free parameters increases logarithmically with the dimensions of the matrix. We propose an estimation method of the free parameters based on the log linear property of this...
Persistent link: https://www.econbiz.de/10011471948
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014416045
We study identification and estimation of the average treatment effect in a correlated random coefficients model that allows for first stage heterogeneity and binary instruments. The model also allows for multiple endogenous variables and interactions between endogenous variables and covariates....
Persistent link: https://www.econbiz.de/10010227690
We study identification and estimation in a binary response model with random coefficients B allowed to be correlated with regressors X. Our objective is to identify the mean of the distribution of B and estimate a trimmed mean of this distribution. Like Imbens and Newey (2009), we use...
Persistent link: https://www.econbiz.de/10009728916
Persistent link: https://www.econbiz.de/10003385784
The linear regression model is widely used in empirical work in Economics. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We give inference methods that allow for many covariates and heteroskedasticity. Our results are...
Persistent link: https://www.econbiz.de/10011295589
correlation coeffcients (Spearman's ρ and Kendall's τ). We first investigate a set of suffcient conditions under which measurement …
Persistent link: https://www.econbiz.de/10011816944
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility. In this paper, we first point out two important properties of the OLS estimator in such regressions: commonly used variance estimators do not consistently estimate the asymptotic variance of the OLS...
Persistent link: https://www.econbiz.de/10014536213
We analyze the identification and estimation of parameters β satisfying the incomplete linear moment restrictions E(z T(x β-y)) = E(zTu(z)) where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a set-up. Second, we...
Persistent link: https://www.econbiz.de/10008990533