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This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, $d$, in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-filtered
Externí odkaz:
http://arxiv.org/abs/1603.01897
Autor:
Poskitt, Don S.
This paper analyses aspects of GMM inference in moment equality models when the moment Jacobian is allowed to be rank deficient. In this setting first order identification may fail, and the singular values of the Jacobian are not constrained, thereby
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ad645472ad02ae2880a3c5e2bf4bbef
This paper examines the identification power of instrumental variables (IVs) for average treatment effect (ATE) in partially identified models. We decompose the ATE identification gains into components of contributions driven by IV relevancy, IV stre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d454466102d95bcec77e0db1cc14ef8
The focus of this paper is on the quantification of sampling variation in frequentist probabilistic forecasts. We propose a method of constructing confidence sets that respects the functional nature of the forecast distribution, and use animated grap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e899a6f16800624dda38ebc010903fdf
This paper studies the instrument identification power for the average treatment effect (ATE) in partially identified binary outcome models with an endogenous binary treatment. We propose a novel approach to measure the instrument identification powe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::059653e49d9591b4a7aa88fe7806842c