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) modes of application of decision models, and (iv) roles of economics as an academic discipline. Moreover, the model suggests …
Persistent link: https://www.econbiz.de/10010928978
variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above …
Persistent link: https://www.econbiz.de/10005463961
Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...
Persistent link: https://www.econbiz.de/10005464005
We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized …
Persistent link: https://www.econbiz.de/10005464018
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...
Persistent link: https://www.econbiz.de/10005464027
We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic...
Persistent link: https://www.econbiz.de/10005464056
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10011096430
differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be … identified without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric … models in treatment effects evaluation in the presence of endogeneity. …
Persistent link: https://www.econbiz.de/10011096433
This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to … general minimax relative efficiency comparisons. The main point is that such models involve inference on a low dimensional …
Persistent link: https://www.econbiz.de/10011099829
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate (n/log n)^{-p/(2p+d)} of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal...
Persistent link: https://www.econbiz.de/10011198597