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This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...
Persistent link: https://www.econbiz.de/10014203492
Estimators of average treatment effects under unconfounded treatment assignment are known to become rather imprecise if there is limited overlap in the covariate distributions between the treatment groups. But such limited overlap can also have a detrimental effect on inference, and lead for...
Persistent link: https://www.econbiz.de/10013029637
This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...
Persistent link: https://www.econbiz.de/10012862378
This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...
Persistent link: https://www.econbiz.de/10013183738
This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved...
Persistent link: https://www.econbiz.de/10012850938
This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size). We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance...
Persistent link: https://www.econbiz.de/10012915138
We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empirically relevant macro and finance applications...
Persistent link: https://www.econbiz.de/10012598494
For statistical process control, a number of single charts that jointly monitor both process mean and variability recently have been developed. For quality control-related hypothesis testing, however, there has been little analogous development of joint mean-variance tests: only one two-sample...
Persistent link: https://www.econbiz.de/10013136795
We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...
Persistent link: https://www.econbiz.de/10010195959
Persistent link: https://www.econbiz.de/10011419309