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Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization

Carrasco, Marine; Florens, Jean-Pierre; Renault, Eric - In: Handbook of econometrics : volume 6B, (pp. 5633-5751). 2007

Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a...

Persistent link: https://www.econbiz.de/10014024938

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

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Chen, Xiaohong - 2011

This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized...

Persistent link: https://www.econbiz.de/10013130682

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Chen, Xiaohong; Pouzo, Demian - 2009

This paper studies nonparametric estimation of conditional moment models in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve...

Persistent link: https://www.econbiz.de/10014206204

Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects : Theory and Practice

Feng, Guohua - 2016

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This …

Persistent link: https://www.econbiz.de/10012979793

Endogeneity and non-response bias in treatment evaluation : nonparametric identification of causal effects by instruments

Fricke, Hans; Frölich, Markus; Huber, Martin; Lechner, … - 2015

endogeneity and attrition/non-response bias, using two instrumental variables. Making use of a discrete instrument for the …

Persistent link: https://www.econbiz.de/10011348296

On the Estimation of Panel Regression Models with Fixed Effects

Kruiniger, Hugo - 2002

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

Persistent link: https://www.econbiz.de/10014120610

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

-driven procedure that balances higherorder bias and variance. In many practical settings the optimal number of portfolios varies … portfolios used in the literature. We give formal and intuitive justifications for this finding based on the bias-variance trade …

Persistent link: https://www.econbiz.de/10011523775

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Su, Liangjun - 2015

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

Persistent link: https://www.econbiz.de/10013028566

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

have smaller bias that is flatter as a function of first step smoothing leading to improved small sample properties. Series …

Persistent link: https://www.econbiz.de/10011517194