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Efficient Estimation of Average Treatment Effects Under Treatment-Based Sampling, Second Version

Song, Kyungchul - 2010

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This … paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are … Hirano, Imbens, and Ridder (2003) to treatment-based sampling does not always lead to an efficient estimator. This paper …

Persistent link: https://www.econbiz.de/10013142868

Efficient Estimation of Average Treatment Effects Under Treatment-Based Sampling

Song, Kyungchul - 2009

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This … paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are …-based sampling that yields the best semiparametric efficiency bound. Lastly, this paper finds that adapting the efficient estimators …

Persistent link: https://www.econbiz.de/10012718642

Model selection test for the heavy-tailed distributions under censored samples with application in financial data

Panahi, Hanieh - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-14

Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...

Persistent link: https://www.econbiz.de/10011606719

New evidence on the finite sample properties of propensity score matching and reweighting estimators

Busso, Matias; DiNardo, John E.; McCrary, Justin - 2009

Currently available asymptotic results in the literature suggest that matching estimators have higher variance than reweighting estimators. The extant literature comparing the finite sample properties of matching to specific reweighting estimators, however, has concluded that reweighting...

Persistent link: https://www.econbiz.de/10003809052

New Evidence on the Finite Sample Properties of Propensity Score Matching and Reweighting Estimators

Busso, Matias - 2009

Persistent link: https://www.econbiz.de/10012764681

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-jae - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or sub-sampling … that our tests are indeed more powerful than the existing sub-sampling and recentered bootstrap …

Persistent link: https://www.econbiz.de/10014220015

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton, Oliver - 2009

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

Persistent link: https://www.econbiz.de/10013159967

Estimation and Inference for Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines

Chen, Haiqiang - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

Persistent link: https://www.econbiz.de/10013079708

Tests for Independence in Nonparametric Regression

Einmahl, John H. J. - 2007

Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown. We construct tests for the independence of e and X, based on n independent copies of (X; Y). The testing procedures are based on differences of neighboring Y's. We establish asymptotic results...

Persistent link: https://www.econbiz.de/10012731502