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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

Estimating Loss Given Default from CDS Under Weak Identification

Liu, Lily Y. - 2017

This paper combines a term structure model of credit default swaps (CDS) with weak-identification robust methods to … identified because it forgoes parametric time series restrictions that have aided identification in previous studies, but that …

Persistent link: https://www.econbiz.de/10012948273

Consistent Inference for Predictive Regressions in Persistent Economic Systems

Andersen, Torben - 2019

This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new...

Persistent link: https://www.econbiz.de/10012889937

Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information

Koo, Bonsoo - 2019

We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The...

Persistent link: https://www.econbiz.de/10012891762

Large Dimensional Time-Varying GMM Estimation : A New Approach

Cui, Liyuan; Hong, Yongmiao; Wang, Junhui - 2021

We develop a novel machine learning method to estimate large dimensional time-varying GMM models via our newly designed …

Persistent link: https://www.econbiz.de/10013234588