This paper presents a simple non-asymptotic method for carrying out inference in IV models.
30 October 2017
In a randomized control trial, the precision of an average treatment effect estimator and the power of the corresponding t-test can be improved either by collecting data on additional individuals, or by collecting additional covariates that predict the outcome variable. We propose the use of pre-experimental data such as other similar studies, a census, or a household survey, to inform the choice of both the sample size and the covariates to be collected.
23 October 2017
This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θn, its bootstrap approximation, and the Bayesian posterior for θ all agree asymptotically.
3 October 2017
In complicated/nonlinear parametric models, it is generally hard to know whether the model parameters are point identified. We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of full parameters and of subvectors in models defined through a likelihood or a vector of moment equalities or inequalities. These CSs are based on level sets of optimal sample criterion functions (such as likelihood or optimally-weighted or continuously-updated GMM criterions). The level sets are constructed using cutoffs that are computed via Monte Carlo (MC) simulations directly from the quasi-posterior distributions of the criterions.
3 October 2017
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on covariates and unobserved effects is specified parametrically, while the distribution of the unobserved effects is left unrestricted.
3 October 2017
There are many interesting and widely used estimators of a functional with finite semi-parametric variance bound that depend on nonparametric estimators of nuisance func-tions. We use cross-fitting to construct such estimators with fast remainder rates. We give cross-fit doubly robust estimators that use separate subsamples to estimate different nuisance functions.
3 October 2017
Saez (2010) introduced an influential estimator that has become known as the bunching estimator. Using this method one can get an estimate of the taxable income elasticity from the bunching pattern around a kink point. The bunching estimator has become popular, with a large number of papers applying the method. In this paper, we show that the bunching estimator cannot identify the taxable income elasticity when the functional form of the distribution of preference heterogeneity is unknown.
2 October 2017
26 September 2017
This article studies the non-parametric identification and estimation of voters’ preferences when voters are ideological. We establish that voter preference distributions and other parameters of interest can be identified from aggregate electoral data.
1 July 2017
Understanding the Effect of Measurement Error on Quantile Regressions
1 October 2017
Generalized Instrumental Variable Models
1 May 2017
Economic theory often provides shape restrictions on functions of interest in applications, such as monotonicity, convexity, non-increasing (non-decreasing) returns to scale, or the Slutsky inequality of consumer theory; but economic theory does not provide finite-dimensional parametric models. This motivates nonparametric estimation under shape restrictions. Nonparametric estimates are often very noisy. Shape restrictions stabilize nonparametric estimates without imposing arbitrary restrictions, such as additivity or a single-index structure, that may be inconsistent with economic theory and the data. This paper explains how to estimate and obtain an asymptotic uniform confidence band for a conditional mean function under possibly nonlinear shape restrictions, such as the Slutsky inequality. The results of Monte Carlo experiments illustrate the finite-sample performance of the method, and an empirical example illustrates its use in an application.
18 August 2017