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Cross-Section Regression with Common Shocks

Andrews, Donald W. K. - 2003

given for consistency. The asymptotic distributions of the estimators are found to be mixed normal after re-centering and …, respectively, under the null hypothesis when the conditions required for consistency of the parameter under test hold. But, the … considered. Using the general results, conditions are determined under which consistency of the LS and IV estimators holds and …

Persistent link: https://www.econbiz.de/10014077624

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and to Forecast their Effects in New Environments

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

Persistent link: https://www.econbiz.de/10014024944

Factor Profiling for Ultra High Dimensional Variable Selection

Wang, Hansheng - 2010

We propose here a novel method of factor profiling (FP) for ultra high dimensional variable selection. The new method assumes that the correlation structure of the high dimensional data can be well represented by a set of low-dimensional latent factors (Fan et al., 2008). The latent factors can...

Persistent link: https://www.econbiz.de/10013143110

Testing Covariates in High Dimensional Regression

Lan, Wei - 2013

In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

Persistent link: https://www.econbiz.de/10013082410

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10003376011

Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity

Linton, Oliver - 2016

We study the efficient estimation of nonparametric regressions with conditional heteroskedasticity in a time series setting. We introduce a weighted local polynomial regression smoother that takes account of the dynamic heteroskedasticity. The effect of weighting on nonparametric regressions is...

Persistent link: https://www.econbiz.de/10013004681

Application of Local Influence Diagnostics to the Linear Logistic Regression Models

Hossain, Monzur; Islam, M. Ataharul - 2004

This paper focuses the development of the diagnostics for the perturbations of case-weights and explanatory variables (one or more) in a linear logistic regression model. The effect of specific perturbation scheme on the estimation of parameters is also assessed. In addition, the interpretation...

Persistent link: https://www.econbiz.de/10014069878

Fat-Tailed Regression Modeling with Spliced Distributions

Gan, Guojun - 2017

Insurance claims data usually contains a large number of zeros and exhibits fat-tail behavior. Misestimation of one end of the tail impacts the other end of the tail of the claims distribution; such can affect both the adequacy of premiums and needed reserves to hold. In addition, insured...

Persistent link: https://www.econbiz.de/10012947808

Alternative Forms for Restricted Regressions

Hirschberg, Joe - 2007

The estimation of regression models subject to linear restrictions is a widely applied technique, however, aside from simple examples, the equivalence between the linear restricted case to the reparameterization or substitution case is rarely employed. We derive a general relationship that...

Persistent link: https://www.econbiz.de/10012730319

Practical significance, meta-analysis and the credibility of economics

Stanley, Tom D.; Doucouliagos, Chris - 2019

Recently, there has been much discussion about replicability and credibility. By integrating the full research record, increasing statistical power, reducing bias and enhancing credibility, meta-analysis is widely regarded as 'best evidence'. Through Monte Carlo simulation, closely calibrated on...

Persistent link: https://www.econbiz.de/10012034162