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Penalized estimation of high-dimensional models under a generalized sparsity condition

Horowitz, Joel; Huang, Jian - 2012

We consider estimation of a linear or nonparametric additive model in which a few coefficients or additive components are "large" and may be objects of substantive interest, whereas others are "small" but not necessarily zero. The number of small coefficients or additive components may exceed...

Persistent link: https://www.econbiz.de/10009567830

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 … gravity estimators that is generally consistent in this context when T is small. At the same time, asymptotic confidence … other time-varying gravity variables. …

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

Bias and consistency in three-way gravity models

Weidner, Martin; Zylkin, Thomas - 2021

recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite the number … estimator among a wide range of PML gravity estimators that is generally consistent in this context when T is fixed. At the same … and other time-varying gravity variables. …

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

An empirical model for strategic network formation

Christakis, Nicholas A.; Fowler, James H.; Imbens, Guido; … - 2010

We develop and analyze a tractable empirical model for strategic network formation that can be estimated with data from a single network at a single point in time. We model the network formation as a sequential process where in each period a single randomly selected pair of agents has the...

Persistent link: https://www.econbiz.de/10003990080

Is it different for zeros? : discriminating between models for non-negative data with many zeros

Silva, João Santos; Tenreyro, Silvana; Windmeijer, Frank - 2010

In many economic applications, the variate of interest is non-negative and its distribution is characterized by a mass-point at zero and a long right-tail. Many regression strategies have been proposed to deal with data of this type. Although there has been a long debate in the literature on the...

Persistent link: https://www.econbiz.de/10003990119

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10009554364

Recent developments in the econometrics of program evaluation

Imbens, Guido (contributor); … - 2008

Many empirical questions in economics and other social sciences depend on causal effects of programs or policies. In the last two decades much research has been done on the econometric and statistical analysis of the effects of such programs or treatments. This recent theoretical literature has...

Persistent link: https://www.econbiz.de/10003746894

Model averaging in semiparametric estimation of treatment effects

Kitagawa, Toru; Muris, Chris - 2015

In the practice of program evaluation, choosing the covariates and the functional form of the propensity score is an important choice that the researchers make when estimating treatment effects. This paper proposes a data-driven way of averaging the estimators over the candidate specifications...

Persistent link: https://www.econbiz.de/10011309717

Semiparametric model averaging of ultra-high dimensional time series

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where the number of exogenous regressors is ultra large and the number of autoregressors is moderately large. In order to accurately forecast the response variable, we propose two semiparametric...

Persistent link: https://www.econbiz.de/10011343005

Mostly harmless simulations? : on the internal validity of empirical Monte Carlo studies

Advani, Arun; Kitagawa, Toru; Słoczyński, Tymon - 2018 - This version: September 21, 2018

Currently there is little practical advice on which treatment effect estimator to use when trying to adjust for observable differences. A recent suggestion is to compare the performance of estimators in simulations that somehow mimic the empirical context. Two ways to run such "empirical Monte...

Persistent link: https://www.econbiz.de/10011912535