Essays On Identification Estimation And Testing Using Nonparametric Methods
DOWNLOAD
Download Essays On Identification Estimation And Testing Using Nonparametric Methods PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays On Identification Estimation And Testing Using Nonparametric Methods book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays On Identification Estimation And Testing Using Nonparametric Methods
DOWNLOAD
Author : Liquan Huang
language : en
Publisher:
Release Date : 2015
Essays On Identification Estimation And Testing Using Nonparametric Methods written by Liquan Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Econometric models categories.
"This dissertation is a collection of two papers studying the identification, estimation and testing of Econometrics problems using nonparametric methods. In Chapter 1, we study the estimation and testing of structural changes in panel data models with cross-sectional dependence and local stationarity. Instead of focusing on detection of abrupt structural changes, we consider smooth structural changes for which model parameters are unknown deterministic smooth functions of time, except for a finite number of time points. Such smooth alternatives are expected to be more realistic than sudden structural changes. We use nonparametric local smoothing method to consistently estimate the smooth changing parameters and develop two consistent tests for smooth structural changes in panel data models. The first test is to check whether all model parameters are stable over time. The second test is to check potential time-varying interaction while allowing for a common trend. Both tests have an asymptotic N (0, 1) distribution under the null hypothesis of parameter constancy and are consistent against a vast class of smooth structural changes as well as abrupt structural breaks with possibly unknown break points alternatives. Simulation studies show that the tests provide reliable inference in finite samples. Applying our tests to the cross-country growth accounting model using 14 OECD (Organisation for Economic Co-operation and Development) countries, we find instability in the model parameters. In Chapter 2, we study an under-identified triangular system of equations model that has k endogenous variables, but only strictly less than k excluded instrumental variables (k = 1, 2, ...). We consider a partially linear model. The endogenous variables for which excluded instruments are available are allowed to have a non-parametric effect. The linear part contains the endogenous variables (and higher order moments and interactions of these) for which we have no excluded instruments. Without the availability of additional instrumental variables, we exploit the additive separability in the partially linear model to generate additional exogenous variation that allows us to identify the coefficients of the endogenous regressors for which no excluded instruments are available. An easy-to-implement consistent estimator for the parametric part is presented. By applying the empirical process methods, we show that the estimator retains ?n-convergence rate and asymptotic normality even with the presence of generated regressors (when k > 1). The nonparametric part of the model is identified, and can be estimated with the standard nonparametric convergence rate. Monte Carlo simulation demonstrates our estimator performs well in finite samples."--Pages v-vi.
Essays On Semi Non Parametric Methods In Econometrics
DOWNLOAD
Author : Sungwon Lee
language : en
Publisher:
Release Date : 2018
Essays On Semi Non Parametric Methods In Econometrics written by Sungwon Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
My dissertation contains three chapters focusing on semi-/non-parametric models in econometrics. The first chapter, which is a joint work with Sukjin Han, considers parametric/semiparametric estimation and inference in a class of bivariate threshold crossing models with dummy endogenous variables. We investigate the consequences of common practices employed by empirical researchers using this class of models, such as the specification of the joint distribution of the unobservables to be a bivariate normal distribution, resulting in a bivariate probit model. To address the problem of misspecification, we propose a semiparametric estimation framework with parametric copula and nonparametric marginal distributions. This specification is an attempt to ensure robustness while achieving point identification and efficient estimation. We establish asymptotic theory for the sieve maximum likelihood estimators that can be used to conduct inference on the individual structural parameters and the average treatment effects. Numerical studies suggest the sensitivity of parametric specification and the robustness of semiparametric estimation. This paper also shows that the absence of excluded instruments may result in the failure of identification, unlike what some practitioners believe. The second chapter develops nonparametric significance tests for quantile regression models with duration outcomes. It is common for empirical studies to specify models with many covariates to eliminate the omitted variable bias, even if some of them are potentially irrelevant. In the case where models are nonparametrically specified, such a practice results in the curse of dimensionality. I adopt the integrated conditional moment (ICM) approach, which was developed by Bierens (1982) and Bierens (1990) to construct test statistics. The proposed test statistics are functionals of a stochastic process which converges weakly to a centered Gaussian process. The test has non-trivial power against local alternatives at the parametric rate. A subsampling procedure is proposed to obtain critical values. The third chapter considers identification of treatment effect and its distribution under some distributional assumptions. I assume that a binary treatment is endogenously determined. The main identification objects are the quantile treatment effect and the distribution of the treatment effect. I construct a counterfactual model and apply Manski's approach (Manski (1990)) to find the quantile treatment effects. For the distribution of the treatment effect, I adapt the approach proposed by Fan and Park (2010). Some distributional assumptions called stochastic dominance are imposed on the model to tighten the bounds on the parameters of interest. It also provides confidence regions for identified sets that are pointwise consistent in level. An empirical study on the return to college confirms that the stochastic dominance assumptions improve the bounds on the distribution of the treatment effect.
Identification And Inference For Econometric Models
DOWNLOAD
Author : Donald W. K. Andrews
language : en
Publisher: Cambridge University Press
Release Date : 2005-07-04
Identification And Inference For Econometric Models written by Donald W. K. Andrews and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-04 with Business & Economics categories.
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Essays On Nonparametric And High Dimensional Econometrics
DOWNLOAD
Author : Jesper Riis-Vestergaard Soerensen
language : en
Publisher:
Release Date : 2018
Essays On Nonparametric And High Dimensional Econometrics written by Jesper Riis-Vestergaard Soerensen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This dissertation studies questions related to identification, estimation, and specification testing of nonparametric and high-dimensional econometric models. The thesis is composed by two chapters. In Chapter 1, I propose specification tests for two formally distinct but related classes of econometric models: (1) semiparametric conditional moment restriction models dependent on conditional expectation functions, and (2) a class of high-dimensional unconditional moment restriction models dependent on high-dimensional best linear predictors. These classes may be motivated by economic models in which agents make choices under uncertainty and therefore have to predict payoff-relevant variables such as the behavior of other agents. The proposed tests are shown to be both asymptotically correctly sized and consistent. Moreover, I establish a bound on the rate of local alternatives for which the test for high-dimensional unconditional moment restriction models is consistent. These results allow researchers to test the specification of their models without introducing additional parametric, typically ad hoc, assumptions on expectations. In Chapter 2, I show that it is possible to identify and estimate a generalized panel regression model (GPRM) without imposing any parametric structure on (1) the function of observable explanatory variables, (2) the systematic function through which the function of observable explanatory variables, fixed effect, and disturbance term generate the outcome variable, or (3) the distribution of unobservables. I proceed with estimation using a series maximum rank correlation estimator (SMRCE) of the function of observable explanatory variables and provide conditions under which L2-consistency is achieved. I also provide conditions under which both L2 and uniform convergence rates of the SMRCE may be derived.
Essays In Econometrics Nonparametrics And Robustness
DOWNLOAD
Author : Benjamin William Deaner
language : en
Publisher:
Release Date : 2021
Essays In Econometrics Nonparametrics And Robustness written by Benjamin William Deaner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Heterogeneity and my key identifying assumptions follow from restrictions on the serial dependence structure.
Essays On Nonparametric Inference And Instrument Selection
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2016
Essays On Nonparametric Inference And Instrument Selection written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
My dissertation consists of two chapters on nonparametric inference and model selection in econometric models. First chapter constructs inference methods for nonparametric series regression models and introduces tests based on the infimum of t-statistics over different series terms. First, I provide a uniform asymptotic theory for the t-statistic process indexed by the number of series terms. Using this result, I show that the test based on the infimum of the t-statistics and its asymptotic critical value controls the asymptotic size with the undersmoothing condition. We can construct a valid confidence interval (CI) by test statistic inversion that has correct asymptotic coverage probability. Even when asymptotic bias terms are present without the undersmoothing condition, I show that the CI based on the infimum of the t-statistics bounds the coverage distortions. In an illustrative example, nonparametric estimation of wage elasticity of the expected labor supply from Blomquist and Newey (2002), proposed CI is close to or tighter than those based on existing methods with possibly ad hoc choice of series terms. Second chapter provides instrument selection criteria in instrumental variable (IV) regression model when there is a large set of instruments with potential invalidity. Economic data identified by IV model sometimes involve large sets of potential instruments and debates about their validity. Existing methods for instrument selection are largely based on a priori assumption of an instrument's validity and/or based on the first-order asymptotics, which may lead to a large finite sample bias with many and invalid instruments. First, I derive higher-order mean square error (MSE) approximation for two-stage least squares (2SLS), limited information maximum likelihood (LIML), modified Fuller (FULL) and bias-adjusted 2SLS (B2SLS) estimator allowing locally invalid instruments. Based on the approximation to the higher-order MSE, I propose an invalidity-robust instrument selection criteria (IRC) that capture two sources of finite sample bias at the same time: bias from using many instruments and bias from invalid instruments. I also show optimality result of choice of instruments based on the criteria of Donald and Newey (2001) under certain locally invalid instruments specification.
Essays In Honor Of Jerry Hausman
DOWNLOAD
Author : Badi H. Baltagi
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-12-17
Essays In Honor Of Jerry Hausman written by Badi H. Baltagi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Essays On Nonparametric Structural Econometrics
DOWNLOAD
Author : Zhutong Gu
language : en
Publisher:
Release Date : 2017
Essays On Nonparametric Structural Econometrics written by Zhutong Gu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Econometrics categories.
My dissertation contains three papers in the theory and applications of nonparametric structural econometrics. In chapter 1, I propose a nonparametric test for additive separability of unobservables of unrestricted dimensions with average structural functions. Chapter 2 considers identification and estimation of fully nonparametric production functions and empirically tests for the Hicks-neutral productivity shocks, a direct application of the test proposed in chapter 1. In chapter 3, my authors and I study the semiparametric ordered response models with correlated unobserved thresholds and investigate the issue of corporate bond rating biases due to the sharing of common investors between bond-issuing firms and credit rating agencies. Brief abstracts are presented in order below. Additive separability between observables and unobservables is one of the essential properties in structural modeling of heterogeneity in the presence of endogeneity. In this chapter, I propose an easy-to-compute test based on empirical quantile mean differences between the average structural functions (ASFs) generated by nonparametric nonseparable and separable models with unrestricted heterogeneity. Given identification, I establish conditions under which structural additivity can be linked to the equality of ASFs derived from the two commonly employed competing specifications. I estimate the reduced form regressions by Nadaraya-Watson estimators and control for the asymptotic bias. I show that the asymptotic test statistic follows a central Chi-squred distribution under the null hypothesis and has power against a sequence of root N-local alternatives. The proposed test statistic works well in a series of finite sample simulations with analytic variances, alleviating the computational burden often involved in bootstrapped inferences. I also show that the test can be straightforwardly extended to semiparametric models, panel data and triangular simultaneous equations frameworks. Hicks-neutral technology implies the substitution pattern of labor and capital in a production function is not affected by technological shocks, first put forth by John Hicks in 1932. In this chapter, I consider the identification and estimation of fully nonparametric firm-level production functions and empirically test the Hicks-neutral productivity in the U.S. manufacturing industry during the period from 1990 to 2011. Firstly, I extend the proxy variable approach to fully nonparametric settings and propose a robust estimator of average output elasticities in non-Hick-neutral scenarios. Secondly, I show that the Hicks-neutral restriction can be converted to the additive separability between inputs and unobservables in a monotonic transformed model for which the proposed testing procedure can be directly applied. It turns out that there is substantial heterogeneity in the nonparametric output elasticities over various counterfactual input amounts. I also find that there were periods in the 90s when the non-Hicks technological shocks occur which coincide with the mass adoption of computing technology. However, the productivity has thereafter become Hicks-neutral into the 2000s. Controlling for sector-specific effects mitigate the non-Hicks-neutrality to some extend. Previous literature on bond rating indicates that credit rating agencies (CRAs) may assign favorable ratings to bond-issuing firms that have a closer relationship. This not only implies the existence of firm-specific unobserved heterogeneity in the rating criteria but also makes some bond/firm characteristics endogenous, which is confirmed by our empirical results. In this chapter, my coauthors and I propose a semiparametric two-step index and location estimator of ordered response models that explicitly incorporates endogenous regressors and correlated random thresholds. We apply our model in the application of assessing bond rating bias of credit rating agencies. Methodologically, we first show that the heterogeneous relative thresholds can be identified using conditional shift restrictions in conjunction with the control variables for the firm-CRA liaison. Then, we illustrate the estimation strategy in a heuristic manner and derive the asymptotic properties of the suggested estimator. In the application, we find significant overrating bias through varying thresholds as the liaison strengthens and those biases display heterogeneous patterns with respect to rating categories.
Essays On Nonparametric Identification
DOWNLOAD
Author : Dan Ben-Moshe
language : en
Publisher:
Release Date : 2012
Essays On Nonparametric Identification written by Dan Ben-Moshe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematical models categories.
In Chapter 1, I extend the techniques in Li and Vuong (1998), Schennach (2004a), and Bonhomme and Robin (2010) to identify nonparametric distributions of unobserved variables in a system of linear equations with more unobserved variables than outcome variables and with subsets of statistically dependent unobserved variables. I construct estimators of the distributions of unobserved variables and derive their uniform convergence rates. In Chapter 2, I develop a method for identification and estimation of coefficients in a linear regression model with measurement error in all the variables. The method is extended to identification in a system of linear equations in which only some of the coefficients on the unobserved variables are known. The estimator uses an assumption that is testable in the data and is in the class of Extremum estimators. The asymptotic distribution of the estimator is derived. In Chapter 3, I identify the nonparametric joint distribution of random coefficients in a linear panel data regression model. The distributions of the coefficients can depend on covariates, coefficients can be statistically dependent or equal in distribution, and there can be more coefficients than the fixed number of time periods. I construct estimators from the identification proofs. In finite sample simulations all the estimators have tight confidence bands around their theoretical counterparts.
Essays On Nonparametric And Dynamic Time Seies Econometrics
DOWNLOAD
Author : Shih-Tang Hwu
language : en
Publisher:
Release Date : 2018
Essays On Nonparametric And Dynamic Time Seies Econometrics written by Shih-Tang Hwu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This dissertation explores important macroeconomics issues based on both classical and Bayesian Econometrics tools developed. One goal of the first chapter of the dissertation is to develop identification conditions and algorithm for estimating Markov-switching models without imposing distribution assumptions. Since the seminal work of Hamilton (1989), the basic Markov-switching model has been extended in various ways. Without a single exception, estimation of the aforementioned models and the other Markov-switching models in the literature has relied upon parametric assumptions on the distribution of the error terms. Most applications of Markov-switching models in the literature assume normally distributed error terms, with rare exceptions like Dueker (1997) who proposes a model of stock returns in which the innovation comes from a Student-t distribution. The question then would be: what if a normal log-likelihood is maximized but the normality assumption is violated? Based on simulation studies, we find that maximum likelihood estimation could lead to sizable bias in the parameter estimates and poor inferences about regime probabilities when the normality assumption is violated, even for a sample size as large as 5,000. We approximate the unknown distribution of the error term by the Dirichlet process mixture of normals, in which the number of mixtures is treated as a parameter to estimate. In doing so, we pay a special attention to identification of the model. We apply the proposed model to the growth of postwar U.S. industrial production index in order to investigate its regime-switching dynamics. Our univariate model can effectively control for the irregular components that is not related to business conditions. This leads to sharp and accurate inferences on recession probabilities just like the dynamic factor models of Kim and Yoo (1995), Chauvet (1998), and Kim and Nelson (1998) do. The second chapter of the dissertation investigates the relationships between innovations to trend inflation and inflation-gap in a univariate unobserved components model with with Markov-switching volatility. Building on the work of Stock and Watson (2007), we empirically shows that a negative correlation between innovations to trend inflation and the inflation gap, when it is combined with time-varying inflation gap persistence, plays an important role in the dynamics of postwar US inflation. A negative correlation between trend inflation and the markup shock may be an important source of their negative correlation. Like the time-varying VAR models of Cogley and Sbordone (2008) and Ascari and Sbordone (2014), our model results in smooth trend inflation, from which inflation persistently deviates during the Great inflation period. Furthermore, our model provides superior out-of-sample forecasts than Stock and Watson's (2007) unobserved components model with stochastic volatility or than Atkeson and Ohanian's (2001) random walk model does. One goal of the last chapter of the dissertation is to develop estimation methods in linear regression model with endogenous variables but only weak instrument variables. The proposed methods exploit the time-varying volatility of the endogenous variables. We show that the proposed estimators are consistent and asymptotically normally distributed. We also show that the proposed methods have much better power compare with the existing weak instrument robust test through simulations. Another goal of the last chapter is to investigate the magnitude of elasticity of intertemporal substitution (EIS), which is one of the most important parameters in applied macroeconomics and finance. Yogo (2004) applies the existing weak instrument robust test to estimate EIS and find 22 out of 33 confidence interval to be ([-infinity, infinity])which is very uninformative. We apply proposed approach to estimate the EIS using the data employed by Yogo (2004). Confidence intervals based on proposed methods are much tighter than those constructed by weak instrument robust tests and its value is generally close to 0.