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Iassopack : Model Selection and Prediction with Regularized Regression in Stata

Ahrens, Achim - 2019

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso …, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the … (implemented in lasso2), K-fold cross-validation and h-step ahead rolling cross-validation for cross-section, panel and time …

Persistent link: https://www.econbiz.de/10012894061

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10013110862

Working to Get Fired? Regression Discontinuity Effects of Unemployment Benefit Eligibility on Prior Employment Duration

Martins, Pedro S. - 2016

In most countries, the unemployed are entitled to unemployment benefits only if they have previously worked a minimum period of time. This institutional feature creates a sharp change at eligibility in the disutility from unemployment and may distort the duration of jobs. In this paper, we...

Persistent link: https://www.econbiz.de/10012981504

Two-Stage Least Squares Random Forests with an Application to Angrist and Evans (1998)

Biewen, Martin - 2020

We develop the case of two-stage least squares estimation (2SLS) in the general framework of Athey et al. (Generalized Random Forests, Annals of Statistics, Vol. 47, 2019) and provide a software implementation for R and C++. We use the method to revisit the classic application of instrumental...

Persistent link: https://www.econbiz.de/10012825001

Real Wages and the Business Cycle in Germany

Marczak, Martyna - 2010

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Persistent link: https://www.econbiz.de/10013137519

Average Gaps and Oaxaca–Blinder Decompositions : A Cautionary Tale About Regression Estimates of Racial Differences in Labor Market Outcomes

Słoczyński, Tymon - 2022

In this paper I demonstrate, both theoretically and empirically, that the interpretation of regression estimates of between-group differences in economic outcomes depends on the relative sizes of subpopulations under study. When the disadvantaged group is small, regression estimates are similar...

Persistent link: https://www.econbiz.de/10014084090

Regression Discontinuity Design with Continuous Measurement Error in the Running Variable

Davezies, Laurent - 2017

Since the late 90s, Regression Discontinuity (RD) designs have been widely used to estimate Local Average Treatment Effects (LATE). When the running variable is observed with continuous measurement error, identification fails. Assuming non-differential measurement error, we propose a consistent...

Persistent link: https://www.econbiz.de/10012955015

The Devil is in the Tails : Regression Discontinuity Design with Measurement Error in the Assignment Variable

Pei, Zhuan - 2016

Identification in a regression discontinuity (RD) design hinges on the discontinuity in the probability of treatment when a covariate (assignment variable) exceeds a known threshold. If the assignment variable is measured with error, however, the discontinuity in the first stage relationship...

Persistent link: https://www.econbiz.de/10012979862

Estimating Causal Effects of Alcohol Access and Use on a Broad Set of Risky Behaviors : Regression Discontinuity Evidence

Fletcher, Jason - 2018

A growing body of evidence suggests large increases in criminal behavior and mortality coinciding with a young adult's 21st birthday, when alcohol consumption becomes legal. The policy implications from these findings have focused on the need to reduce drinking among young people, potentially by...

Persistent link: https://www.econbiz.de/10012915177

Regression Discontinuity and Heteroskedasticity Robust Standard Errors : Evidence from a Fixed-Bandwidth Approximation

Bartalotti, Otávio - 2018

In regression discontinuity design (RD), for a given bandwidth, researchers can estimate standard errors based on different variance formulas obtained under different asymptotic frameworks. In the traditional approach the bandwidth shrinks to zero as sample size increases; alternatively, the...

Persistent link: https://www.econbiz.de/10012917093