Showing 1 - 10 of 32
Persistent link: https://www.econbiz.de/10005228664
We consider a method for producing multivariate density forecasts that satisfy moment restrictions implied by economic theory, such as Euler conditions. The method starts from a base forecast that might not satisfy the theoretical restrictions and forces it to satisfy the moment conditions using...
Persistent link: https://www.econbiz.de/10011052219
Persistent link: https://www.econbiz.de/10005192736
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a forecasting model. We propose a measure of the usefulness of the restrictions that depends on the forecaster's loss function and that could be time varying. We show how to conduct inference about...
Persistent link: https://www.econbiz.de/10009249363
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother...
Persistent link: https://www.econbiz.de/10010785278
Notions of cause and effect are fundamental to economic explanation. Although concepts such as price effects are intuitive, rigorous foundations justifying causal discourse in the wide range of economic settings remain lacking. We illustrate this deficiency using an N-bidder private-value...
Persistent link: https://www.econbiz.de/10010785282
This paper studies a two-stage procedure for estimating partially identified models, based on Chernozhukov, Hong, and Tamer’s (2007) theory of set estimation and inference. We consider the case where a sub-vector of parameters or their identified set can be estimated separately from the rest,...
Persistent link: https://www.econbiz.de/10010785288
Policy analysis had long been a main interest of Clive Granger’s. Here, we present a framework for economic policy analysis that provides a novel integration of several fundamental concepts at the heart of Granger’s contributions to time-series analysis. We work with a dynamic structural...
Persistent link: https://www.econbiz.de/10011052240
Separability is an important feature of structural equations, as it implies the absence of unobservable heterogeneity of effects and has significant implications for identification and efficiency of estimation. This paper provides a nonparametric test for separability in structural equations....
Persistent link: https://www.econbiz.de/10011052303
This paper extends the familiar notion of fixed effects to nonlinear structures with infinite-dimensional unobservables, like preferences. The main result is that a generalized version of differencing identifies local average responses (LARs) in nonseparable structures. In contrast to existing...
Persistent link: https://www.econbiz.de/10011052311