Methods

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate.

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile.

This paper proposes a new class of HAC covariance matrix estimators.

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models.

This Mathematica notebook accompanies the paper, 'Sharp identified sets for discrete variable IV models'.

This paper reviews some of the econometric methods that have been used in the economics of education.

In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known.

This paper considers parametric estimation problems with i.i.d. data.

The paper extends the analysis of structural quantile functions with endogenous arguments to cases in which there are discrete outcomes.

The aim of this report is to explore how the findings from the experimental research on ERA relate to the impacts that would have been experienced, on average, by all the people who were eligible for the programme, had they participated in the study.

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling.

We show that the 2SLS biases relative to that of the OLS biases are then similar for the equations in differences and levels, as are the size distortions of the Wald tests.

Hedonic pricing with quasilinear preferences is shown to be equivalent to stable matching with transferable utilities and a participation constraint, and to an optimal transportation (Monge-Kantorovich) linear programming problem.

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics.

This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments.

This paper explores efficiency gains which might be achievable using moment conditions which are nonlinear in the disturbances and are based on flexible parametric families for error distributions.