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Entropic latent variable integration via simulation

Schennach, Susanne M. - 2013 - Initial submission: November 6, 2009, This version: June 24, 2013

introducing infinite-dimensional nuisance parameters using a least-favourable entropy-maximising distribution. We demonstrate …, through examples and simulations, that this approach covers a wide class of latent variables models, including some game …

Persistent link: https://www.econbiz.de/10009767942

Entropic latent variable integration via simulation

Schennach, Susanne M. - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 1, pp. 345-385

Persistent link: https://www.econbiz.de/10010404630

Generalised method of moments with latent variables

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...

Persistent link: https://www.econbiz.de/10010188137

Counterfactual prediction in complete information games : point prediction under partial identification

Jun, Sung Jae; Pinkse, Joris - In: Journal of econometrics 216 (2020) 2, pp. 394-429

Persistent link: https://www.econbiz.de/10012439748

An information-theoretic approach to partially identified auction models

Jun, Sung Jae; Pinkse, Joris - In: Journal of econometrics 238 (2024) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10015073888

A time-space dynamic panel data model with spatial moving average errors

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018

. Then, a forecasting approach is proposed and a linear predictor is derived. Using Monte Carlo simulations, we compare the …

Persistent link: https://www.econbiz.de/10011872320

A time-space dynamic panel data model with spatial moving average errors

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - In: Regional science & urban economics 76 (2019), pp. 13-31

Persistent link: https://www.econbiz.de/10012267289

A simple specification test for models with many conditional moment inequalities

Marcoux, Mathieu; Russell, Thomas M.; Wan, Yuanyuan - 2023

Persistent link: https://www.econbiz.de/10014428523

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

Persistent link: https://www.econbiz.de/10010234017

Model selection tests for conditional moment inequality models

Hsu, Yu-Chin; Shi, Xiaoxia - 2013

Persistent link: https://www.econbiz.de/10009778548