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Individual counterfactuals with multidimensional unobserved heterogeneity

Blundell, Richard W.; Kristensen, Dennis; Matzkin, Rosa … - 2017

New nonparametric methods that identify and estimate counterfactuals for individuals, when each is characterized by a vector of unobserved characteristics, are developed and applied to estimate systems of individual consumer demand and welfare measures. The unobserved characteristics are allowed...

Persistent link: https://www.econbiz.de/10011941539

Conditions for the existence of control functions in nonseparable simultaneous equations models

Blundell, Richard; Matzkin, Rosa L. - 2010

The control function approach (Heckman and Robb (1985)) in a system of linear simultaneous equations provides a convenient procedure to estimate one of the functions in the system using reduced form residuals from the other functions as additional regressors. The conditions on the structural...

Persistent link: https://www.econbiz.de/10010288382

Quantile selection models: With an application to understanding changes in wage inequality

Arellano, Manuel; Bonhomme, Stephane - 2015

cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation … decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the …

Persistent link: https://www.econbiz.de/10011445784

Copula-based nonlinear quantile autoregression

Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie - 2008

-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global …

Persistent link: https://www.econbiz.de/10010288439

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

Persistent link: https://www.econbiz.de/10010288444

Homophily and transitivity in dynamic network formation

Graham, Bryan S. - 2016

In social and economic networks linked agents often share additional links in common. There are two competing explanations for this phenomenon. First, agents may have a structural taste for transitive links - the returns to linking may be higher if two agents share links in common. Second,...

Persistent link: https://www.econbiz.de/10011594326

An econometric model of network formation with degree heterogeneity

Graham, Bryan S. - 2017

I introduce a model of undirected dyadic link formation which allows for assortative matching on observed agent characteristics (homophily) as well as unrestricted agent level heterogeneity in link surplus (degree heterogeneity). Like in fixed effects panel data analyses, the joint distribution...

Persistent link: https://www.econbiz.de/10011941431

Recovering social networks from panel data: Identification, simulations and an application

de Paula Neto, Áureo Nilo; Rasul, Imran; Souza, Pedro C. L. - 2018

It is almost self-evident that social interactions can determine economic behavior and outcomes. Yet, information on social ties does not exist in most publicly available and widely used datasets. We present methods to recover information on the entire structure of social networks from...

Persistent link: https://www.econbiz.de/10011941450

Control variables, discrete instruments, and identification of structural functions

Newey, Whitney K.; Stouli, Sami - 2018

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...

Persistent link: https://www.econbiz.de/10011941530

Recovering social networks from panel data: Identification, simulations and an application

de Paula Neto, Áureo Nilo; Rasul, Imran; Souza, Pedro CL - 2018

It is almost self-evident that social interactions can determine economic behavior and outcomes. Yet, information on social ties does not exist in most publicly available and widely used datasets. We present results on the identification of social networks from observational panel data that...

Persistent link: https://www.econbiz.de/10011941536