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Consistent estimation with many moment inequalities

Menzel, Konrad - In: Journal of Econometrics 182 (2014) 2, pp. 329-350

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV...

Persistent link: https://www.econbiz.de/10010906795

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

Persistent link: https://www.econbiz.de/10010730130

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of Econometrics 172 (2013) 1, pp. 49-65

We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as … realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is … superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap …

Persistent link: https://www.econbiz.de/10011052229

Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory

Lavergne, Pascal; Patilea, Valentin - In: Journal of Econometrics 177 (2013) 1, pp. 47-59

restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to …

Persistent link: https://www.econbiz.de/10010703138

Bootstrapping factor-augmented regression models

Gonçalves, Sílvia; Perron, Benoit - In: Journal of Econometrics 182 (2014) 1, pp. 156-173

This paper proposes and theoretically justifies bootstrap methods for regressions where some of the regressors are … Ludvigson and Ng (2011)). We consider general residual-based bootstrap methods and provide a set of high-level conditions on the … bootstrap residuals and on the idiosyncratic errors such that the bootstrap distribution of a rotated OLS estimator is …

Persistent link: https://www.econbiz.de/10011052190

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Journal of Econometrics 185 (2015) 1, pp. 259-282

This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of...

Persistent link: https://www.econbiz.de/10011190735

Nonparametric inference based on conditional moment inequalities

Andrews, Donald W.K.; Shi, Xiaoxia - In: Journal of Econometrics 179 (2014) 1, pp. 31-45

This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...

Persistent link: https://www.econbiz.de/10010738119

Weighted KS statistics for inference on conditional moment inequalities

Armstrong, Timothy B. - In: Journal of Econometrics 181 (2014) 2, pp. 92-116

This paper proposes set estimators and conservative confidence regions for the identified set in conditional moment inequality models using Kolmogorov–Smirnov statistics with a truncated inverse variance weighting with increasing truncation points. The new weighting differs from those proposed...

Persistent link: https://www.econbiz.de/10010785283

Estimation and inference for distribution functions and quantile functions in treatment effect models

Donald, Stephen G.; Hsu, Yu-Chin - In: Journal of Econometrics 178 (2014) P3, pp. 383-397

We propose inverse probability weighted estimators for the distribution functions of the potential outcomes under the unconfoundedness assumption and apply the inverse mapping to obtain the quantile functions. We show that these estimators converge weakly to zero mean Gaussian processes. A...

Persistent link: https://www.econbiz.de/10010730121

On the bootstrap for Moran’s I test for spatial dependence

Jin, Fei; Lee, Lung-fei - In: Journal of Econometrics 184 (2015) 2, pp. 295-314

This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the …, the bootstrap can be studied based on linear–quadratic (LQ) forms of disturbances. By proving the uniform convergence of … the cumulative distribution function for LQ forms to that of a normal distribution, we show that the bootstrap is …

Persistent link: https://www.econbiz.de/10011117413