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influence functions of the endogenous probit model’s classical estimators (the maximum likelihood and the two-step estimator … obtain a robust alternative estimator, prove its asymptotic normality and provide its asymptotic variance. A simple robust … simulations with different types of contamination scenarios. The use of our estimator is illustrated in several empirical …
Persistent link: https://www.econbiz.de/10013241199
-step OLS estimator that is biased, and has weak power and size, FMOLS also has poor finite-T properties. I show that FMOLS … asymptotically leave an O(h/T) fraction of the OLS bias, where h is the selected bandwidth.I also propose an improved estimator … (asymptotically) nuisance parameter-free. My improved estimator permits analysing wider panels.In the scenarios reviewed by previous …
Persistent link: https://www.econbiz.de/10013064659
This paper introduces a new bootstrap approach to the construction of confidence regions for Average Treatment Effect (ATE) identified sets. Minimum Hausdorff distance bootstrap confidence regions are developed and shown to be valid under suitable regularity. A novel measure of the discrepancy...
Persistent link: https://www.econbiz.de/10014347518
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
The multinomial logit model with random coefficients is widely used in applied research. This paper is concerned with estimating a random coefficients logit model in which the distribution of each coefficient is characterized by finitely many parameters. Some of these parameters may be zero. The...
Persistent link: https://www.econbiz.de/10012109830
We replicate a flagship randomised control trial carried out in rural Morocco that showed substantial and significant impacts of microcredit on the assets, the outputs, the expenses and the profits of self-employment activities. The original results rely primarily on trimming, which is the...
Persistent link: https://www.econbiz.de/10012123202
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …
Persistent link: https://www.econbiz.de/10012510747
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10013210359
LDV is known to be of order 1/T, we show that the Nickell-type bias in the estimator of the treatment effect is of order 1 …
Persistent link: https://www.econbiz.de/10015373005
Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...
Persistent link: https://www.econbiz.de/10013029835