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Nonparametric IV Estimation of Local Average Treatment Effects with Covariates

Frölich, Markus - 2002

In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to … incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies … variable models. Including covariates in the estimation of LATE is necessary when the instrumental variable itself is …

Persistent link: https://www.econbiz.de/10010262665

Partial distributional policy effects

Rothe, Christoph - 2011

discrete. For the latter case, we derive informative bounds making use of the available information. We also discuss estimation …

Persistent link: https://www.econbiz.de/10010282458

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10010276254

Misspecification testing in a class of conditional distributional models

Rothe, Christoph; Wied, Dominik - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10010282420

Dynamic Treatment Assignment : The Consequences for Evaluations Using Observational Data

Fredriksson, Peter; Johansson, Per - 2004

This paper discusses the evaluation problem using observational data when the timing of treatment is an outcome of a stochastic process. We show that the duration framework in discrete time provides a fertile ground for effect evaluations. We suggest easy-to-use nonparametric survival function...

Persistent link: https://www.econbiz.de/10010261825

Identification and Estimation of Economic Models of Outmigration Using Panel Attrition

Bellemare, Charles - 2004

Because their departures are difficultly observed, little is known about the performance of immigrants who leave a region and move to another. This paper shows conditions under which the (conditional) outmigration probability, work probability and the expected earnings of outmigrants are...

Persistent link: https://www.econbiz.de/10010261828

A Structural Labour Supply Model with Nonparametric Preferences

van Soest, Arthur; Das, Marcel; Gong, Xiaodong - 2000

-linear) tax and benefits changes. Moreover, the model can deal with several other problems in estimation of structural labour … to show that the estimation strategy has remarkably good finite sample properties for the size of our sample. On the …

Persistent link: https://www.econbiz.de/10010262417

Quantile treatment effects in the regression discontinuity design: Process results and gini coefficient

Frölich, Markus; Melly, Blaise - 2010

This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...

Persistent link: https://www.econbiz.de/10010269846

Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score

Angrist, Joshua D.; Kuersteiner, Guido M. - 2008

dependent data and allowing for first-step estimation of the propensity score. …

Persistent link: https://www.econbiz.de/10010270625

Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application

Paserman, Marco Daniele - 2004

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...

Persistent link: https://www.econbiz.de/10010276176