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Generic inference on quantile and quantile effect functions for discrete outcomes
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2017
This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for possibly discrete or mixed discrete-continuous random variables. The construction is generic and does not depend on the nature of the underlying problem. It works in conjunction...
Persistent link: https://www.econbiz.de/10011647471
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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020
thresholds and structural break models with estimated breakdates. Estimation and inference procedures that ignore the randomness …
Persistent link: https://www.econbiz.de/10012241853
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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2019
thresholds, and structural break models with estimated breakdates. Estimation and inference procedures that ignore the randomness …
Persistent link: https://www.econbiz.de/10012109832
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Inference on treatment effects after selection amongst high-dimensional controls
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2013 - This version May 30, 2013
novel estimation and uniformly valid inference method for the treatment effect in this setting, called the 'post …
Persistent link: https://www.econbiz.de/10009747934
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Inference on treatment effects after selection amongst high-dimensional controls
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2012
novel estimation and uniformly valid inference method for the treatment effect in this setting, called the "post …
Persistent link: https://www.econbiz.de/10009548244
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Generic inference on quantile and quantile effect functions for discrete outcomes
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2016
This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for possibly discrete or mixed discrete-continuous random variables. The construction is generic and does not depend on the nature of the underlying problem. It works in conjunction...
Persistent link: https://www.econbiz.de/10011524697
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Quantile models with endogeneity
Chernozhukov, Victor; Hansen, Christian Bailey - 2013
economically motivated examples. We also briefly review the literature on estimation and inference. …
Persistent link: https://www.econbiz.de/10009747939
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
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Inference on a distribution from noisy draws
Jochmans, Koen; Weidner, Martin - 2019
-parametric and easy to implement. Our approach can be connected to corrections for selection bias and shrinkage estimation and is to …
Persistent link: https://www.econbiz.de/10012063831
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Inference on a distribution from noisy draws
Jochmans, Koen; Weidner, Martin - 2021
for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …
Persistent link: https://www.econbiz.de/10012792731