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Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2019

The issue of quality and its relationship with efficiency and performance is a crucial operational issue in many fields of study including production economics, operations research, engineering and business management. In this paper we provide a methodology for identifying latent quality...

Persistent link: https://www.econbiz.de/10011986764

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10009620338

The value of knowing the propensity score for estimating average treatment effects

Rothe, Christoph - 2016

In a treatment effect model with unconfoundedness, treatment assignments are not only independent of potential outcomes given the covariates, but also given the propensity score alone. Despite this powerful dimension reduction property, adjusting for the propensity score is known to lead to an...

Persistent link: https://www.econbiz.de/10011486511

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

Persistent link: https://www.econbiz.de/10011517194

GEL-based inference with unconditional moment inequality restrictions

Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017

function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …

Persistent link: https://www.econbiz.de/10011812336

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …

Persistent link: https://www.econbiz.de/10011824067

Nonparametric Estimation of Risk-Neutral Densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2017

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

Persistent link: https://www.econbiz.de/10014123485

Arrival Rate Functions

Madan, Dilip B. - 2017

Asset price dynamics are taken to be accumulations of surprise jumps in the logarithm of prices. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Estimation is done by matrix exponentiation of the transition rate matrix for a...

Persistent link: https://www.econbiz.de/10012967219

Low-Frequency Trading with High-Frequency Measures : Is it Profitable?

Komarov, Oleg - 2017

Are high-frequency realized measures profitable for low-frequency investment? I compare the profitability of the same investment strategy against two implementations of its trading signals: one that conventionally uses daily returns (LF) and the other that takes advantage of high-frequency (HF)...

Persistent link: https://www.econbiz.de/10012968278