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Outliers in semi-parametric estimation of treatment effects

Canavire-Bacarreza, Gustavo; Castro, Luis; Ontiveros, … - In: Econometrics 9 (2021) 2, pp. 1-32

Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this … presence of outliers. Bad and good leverage point outliers are considered. Bias arises in the case of bad leverage points … correct for the effects of outliers following a reweighting strategy in the spirit of the Stahel-Donoho (SD) multivariate …

Persistent link: https://www.econbiz.de/10012696324

Efficiency of average treatment effect estimation when the true propensity is parametric

Kim, Kyoo Il - In: Econometrics 7 (2019) 2, pp. 1-13

It is well known that efficient estimation of average treatment effects can be obtained by the method of inverse propensity score weighting, using the estimated propensity score, even when the true one is known. When the true propensity score is unknown but parametric, it is conjectured from the...

Persistent link: https://www.econbiz.de/10012696240

Strategic interaction model with censored strategies

Jenish, Nazgul - In: Econometrics 3 (2015) 2, pp. 412-442

In this paper, we develop a new model of a static game of incomplete information with a large number of players. The model has two key distinguishing features. First, the strategies are subject to threshold effects, and can be interpreted as dependent censored random variables. Second, in...

Persistent link: https://www.econbiz.de/10011755287

Nonparametric regression with common shocks

Souza-Rodrigues, Eduardo A. - In: Econometrics 4 (2016) 3, pp. 1-17

This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the...

Persistent link: https://www.econbiz.de/10011755340

Direct and indirect effects under sample selection and outcome attrition

Huber, Martin; Solovyeva, Anna - In: Econometrics 8 (2020) 4, pp. 1-25

This paper extends the evaluation of direct and indirect treatment effects, i.e., mediation analysis, to the case that outcomes are only partially observed due to sample selection or outcome attrition. We assume sequential conditional independence of the treatment and the mediator, i.e., the...

Persistent link: https://www.econbiz.de/10012696307

Twenty-two years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis

Espasa Terrades, Antoni; Senra, Eva - In: Econometrics 5 (2017) 4, pp. 1-28

The Bulletin of EU & US Inflation and Macroeconomic Analysis (BIAM) is a monthly publication that has been reporting real time analysis and forecasts for inflation and other macroeconomic aggregates for the Euro Area, the US and Spain since 1994. The BIAM inflation forecasting methodology stands...

Persistent link: https://www.econbiz.de/10011995193

Econometric Modeling of Business Telecommunications Demand using RETINA and Finite Mixtures.

Marinucci, Massimiliano; Pérez-Amaral, Teodosio - EconWPA - 2005

In this paper we estimate the business telecommunications demands for local,intra-LATA and inter-LATA services, using US data from a Bill Harvesting (R) survey carried out during 1997. We model heterogeneity, which is present among firms due to a variety of different business telecommunication...

Persistent link: https://www.econbiz.de/10005119160

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...

Persistent link: https://www.econbiz.de/10011755273

On bootstrap inference for quantile regression panel data: A Monte Carlo study

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics 3 (2015) 3, pp. 654-666

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different bootstrapping procedures. First, the bootstrap...

Persistent link: https://www.econbiz.de/10011755298

Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models

Cizek, Pavel - EconWPA - 2002

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. This sensitivity is addressed by the theory of robust statistics which builds upon parametric specification, but provides...

Persistent link: https://www.econbiz.de/10005556311