Showing 1 - 10 of 1,473
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
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
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
This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …
Persistent link: https://www.econbiz.de/10011517194
We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …
Persistent link: https://www.econbiz.de/10011824067
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
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
We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...
Persistent link: https://www.econbiz.de/10013133664
We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...
Persistent link: https://www.econbiz.de/10013144212
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/10003953034