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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

Bias corrections for two-step fixed effects panel data estimators

Fernández-Val, Iván (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428365

Multiscale clustering of nonparametric regression curves

Vogt, Michael; Linton, Oliver - 2018

We study a longitudinal data model with nonparametric regression functions that may vary across the observed subjects. In a wide range of applications, it is natural to assume that not every subject has a completely different regression function. We may rather suppose that the observed subjects...

Persistent link: https://www.econbiz.de/10011775203

Inference after discretizing unobserved heterogeneity

Beyhum, Jad; Mugnier, Martin - 2024

straightforward two-step estimation procedure inspired by existing discretization approaches. In the first step, we construct a …

Persistent link: https://www.econbiz.de/10015168551

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 for a general class of functional inequalities

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

power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for …

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