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Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes

Chabé-Ferret, Sylvain - In: Journal of Econometrics 185 (2015) 1, pp. 110-123

Matching and Difference in Difference (DID) are two widespread methods that use pre-treatment outcomes to correct for … values. I find that Matching generally underestimates the average causal effect of the program and gets closer to the true … still performs better than Matching, especially in the middle of the life-cycle. These results are consistent with estimates …

Persistent link: https://www.econbiz.de/10011190717

Treatment effects in sample selection models and their nonparametric estimation

Lee, Myoung-jae - In: Journal of Econometrics 167 (2012) 2, pp. 317-329

usual matching methods. First, there is no need to select the number of matched observations. Second, the asymptotic … that takes into account the ‘non-overlapping support problem’, which the usual matching deals with by choosing a ‘caliper … to compare the proposed methods with matching methods, and a real data illustration is provided. …

Persistent link: https://www.econbiz.de/10011052193

The method of simulated quantiles

Dominicy, Yves; Veredas, David - In: Journal of Econometrics 172 (2013) 2, pp. 235-247

We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is …

Persistent link: https://www.econbiz.de/10011052218

A semiparametric single index model with heterogeneous impacts on an unobserved variable

Lee, Jiyon - In: Journal of Econometrics 184 (2015) 1, pp. 13-36

This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated...

Persistent link: https://www.econbiz.de/10011077588

Specification testing for transformation models with an application to generalized accelerated failure-time models

Lewbel, Arthur; Lu, Xun; Su, Liangjun - In: Journal of Econometrics 184 (2015) 1, pp. 81-96

This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in...

Persistent link: https://www.econbiz.de/10011077604

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of Econometrics 184 (2015) 1, pp. 124-144

This paper develops two tests for parametric volatility function of a diffusion model based on Khmaladze (1981)’s martingale transformation. The tests impose no restrictions on the functional form of the drift function and are shown to be asymptotically distribution-free. The tests are...

Persistent link: https://www.econbiz.de/10011077605

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180

We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with...

Persistent link: https://www.econbiz.de/10011077613

Frontier estimation in the presence of measurement error with unknown variance

Kneip, Alois; Simar, Léopold; Van Keilegom, Ingrid - In: Journal of Econometrics 184 (2015) 2, pp. 379-393

Frontier estimation appears in productivity analysis. Firm’s performance is measured by the distance between its output and an optimal production frontier. Frontier estimation becomes difficult if outputs are measured with noise and most approaches rely on restrictive parametric assumptions....

Persistent link: https://www.econbiz.de/10011117412

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of Econometrics 184 (2015) 2, pp. 242-261

We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The...

Persistent link: https://www.econbiz.de/10011117414

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars - In: Journal of Econometrics 184 (2015) 2, pp. 361-378

We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach....

Persistent link: https://www.econbiz.de/10011117416