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We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous …-identified and characterize the identification sets. Second, we propose novel estimation and inference methods for this true value …. These estimation and inference methods are of independent interest and apply to any problem possessing the sensitivity …
Persistent link: https://www.econbiz.de/10011754944
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We introduce two new Stata commands for the estimation of an ordered response model with sample selection. The opsel … estimation of discrete response models. Compared to the other SNP estimators, our routine is relatively faster because it is … programmed in MATA. In addition, we provide new post-estimation routines to compute linear predictions, predicted probabilities …
Persistent link: https://www.econbiz.de/10014194495
We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The Midastar model of the first kind is designed for a low frequency target variable and a high frequency threshold variable. The proposed model can detect threshold effects...
Persistent link: https://www.econbiz.de/10014240508
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Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...
Persistent link: https://www.econbiz.de/10009633861
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Imagine we have two different samples and are interested in doing semi- or nonparametric regression analysis in each of them, possibly on the same econometric model. In this article we consider the problem of testing whether a specific covariate has different impacts on the regression curve in...
Persistent link: https://www.econbiz.de/10010477832