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Chapter 75 The Econometrics of Data Combination

Ridder, Geert; Moffitt, Robert - In: Handbook of econometrics : volume 6B, (pp. 5469-5547). 2007

Economists who use survey or administrative data for inferences regarding a population may want to combine information obtained from two or more samples drawn from the population. This is the case if there is no single sample that contains all relevant variables. A special case occurs if...

Persistent link: https://www.econbiz.de/10014024940

Nonseparable Sample Selection Models with Censored Selection Rules : An Application to Wage Decompositions

Fernández‐Val, Iván - 2018

strategies for estimation. We also provide the associated asymptotic theory. These strategies are illustrated in an empirical …

Persistent link: https://www.econbiz.de/10012928503

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

From animal baits to investors' preference : estimating and demixing of the weight function in semiparametric models for biased samples

Ritov, Ya'acov (contributor); Härdle, Wolfgang (contributor) - 2007

; Inverse problem ; Risk aversion ; Exponential mixture ; Empirical pricing kernel ; DAX ; Market utility function …

Persistent link: https://www.econbiz.de/10003633700

Nonseparable sample selection models with censored selection rules

Fernández-Val, Iván; Vuuren, Aico van; Vella, Francis - 2018

strategies for estimation. We also provide the associated asymptotic theory. These strategies are illustrated in an empirical …

Persistent link: https://www.econbiz.de/10011788298

Nonseparable sample selection models with censored selection rules : an application to wage decompositions

Fernández-Val, Iván; Vuuren, Aico van; Vella, Francis - 2018

strategies for estimation. We also provide the associated asymptotic theory. These strategies are illustrated in an empirical …

Persistent link: https://www.econbiz.de/10011795543

Identifying Marginal Treatment Effects in the Presence of Sample Selection

Bartalotti, Otávio - 2020

This article presents identification results for the marginal treatment effect (MTE) when there is sample selection. We show that the MTE is partially identified for individuals who are always observed regardless of treatment, and derive uniformly sharp bounds on this parameter under four...

Persistent link: https://www.econbiz.de/10012848558

Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium

Bianchi, Daniele - 2015

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis …

Persistent link: https://www.econbiz.de/10013034741

Estimating Long-Run Risks in Developed and Developing Countries : A Particle MCMC Approach

Ho, Steven Wei - 2019

We estimate a generalized version of the Long-Run Risk model in a panel of developed and developing countries using …. Our estimations provide further evidence in support of the Long-Run Risk model and in the existence of a common small …

Persistent link: https://www.econbiz.de/10012897110

News-Driven Uncertainty Fluctuations

Song, Dongho - 2019

historical periods in which uncertainty and risk premia were elevated because of news shocks …

Persistent link: https://www.econbiz.de/10012898555