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Bootstrap inference on a factor model based average treatment effects estimator 基于因子模型的平均治疗效果估计器的 Bootstrap 推断
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-09-02 DOI: 10.1080/07474938.2024.2390392
Luya Wang, Jeffrey S. Racine, Qiaoyu Wang
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引用次数: 0
Estimation of random functions proxying for unobservables 代理非观测变量的随机函数估计
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-09-02 DOI: 10.1080/07474938.2024.2370171
Jerome M. Krief, Christopher F. Parmeter
{"title":"Estimation of random functions proxying for unobservables","authors":"Jerome M. Krief, Christopher F. Parmeter","doi":"10.1080/07474938.2024.2370171","DOIUrl":"https://doi.org/10.1080/07474938.2024.2370171","url":null,"abstract":"This article considers the model Y=M(X,U) where U is an unobservable continuously distributed scalar and M is monotonic with respect to U. It is assumed there is an observable scalar W satisfying t...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"44 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Using machine learning for efficient flexible regression adjustment in economic experiments 在经济实验中利用机器学习进行高效灵活的回归调整
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-08-01 DOI: 10.1080/07474938.2024.2373446
John A. List, Ian Muir, Gregory Sun
{"title":"Using machine learning for efficient flexible regression adjustment in economic experiments","authors":"John A. List, Ian Muir, Gregory Sun","doi":"10.1080/07474938.2024.2373446","DOIUrl":"https://doi.org/10.1080/07474938.2024.2373446","url":null,"abstract":"This study investigates the optimal use of covariates in reducing variance when analyzing experimental data. We show that finding the variance-minimizing strategy for making use of pre-treatment ob...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"40 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141934339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lag order selection for long-run variance estimation in econometrics 计量经济学中长期方差估计的滞后阶数选择
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-07-12 DOI: 10.1080/07474938.2024.2364488
Marco Morales
{"title":"Lag order selection for long-run variance estimation in econometrics","authors":"Marco Morales","doi":"10.1080/07474938.2024.2364488","DOIUrl":"https://doi.org/10.1080/07474938.2024.2364488","url":null,"abstract":"Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"58 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141611137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the estimation of quantile treatment effects using a semiparametric propensity score 使用半参数倾向得分估算量化治疗效果
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-07-09 DOI: 10.1080/07474938.2024.2363237
Mingfeng Zhan, Karen X. Yan
{"title":"On the estimation of quantile treatment effects using a semiparametric propensity score","authors":"Mingfeng Zhan, Karen X. Yan","doi":"10.1080/07474938.2024.2363237","DOIUrl":"https://doi.org/10.1080/07474938.2024.2363237","url":null,"abstract":"This article considers the estimation of quantile treatment effects under the assumption of unconfoundedness given quasi-experimental data. We propose a semiparametric single-index method to estima...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"21 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141611061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Selecting the number of factors in approximate factor models using group variable regularization 利用组变量正则化选择近似因子模型中的因子数量
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-07-09 DOI: 10.1080/07474938.2024.2365795
Maurizio Daniele
{"title":"Selecting the number of factors in approximate factor models using group variable regularization","authors":"Maurizio Daniele","doi":"10.1080/07474938.2024.2365795","DOIUrl":"https://doi.org/10.1080/07474938.2024.2365795","url":null,"abstract":"We propose a novel method for the estimation of the number of factors in approximate factor models. The model is based on a penalized maximum likelihood approach incorporating an adaptive hierarchi...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"2019 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141587566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation of counterfactual distributions with a continuous endogenous treatment 连续内生处理的反事实分布估计
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-07-01 DOI: 10.1080/07474938.2024.2357429
Santiago Pereda-Fernández
{"title":"Estimation of counterfactual distributions with a continuous endogenous treatment","authors":"Santiago Pereda-Fernández","doi":"10.1080/07474938.2024.2357429","DOIUrl":"https://doi.org/10.1080/07474938.2024.2357429","url":null,"abstract":"In this article, I propose a method to estimate the counterfactual distribution of an outcome variable when the treatment is endogenous, continuous, and its effect is heterogeneous. The types of co...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"25 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141587567","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lassoed boosting and linear prediction in the equities market 股票市场中的套期保值和线性预测
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-06-20 DOI: 10.1080/07474938.2024.2359475
Huang Xiao
{"title":"Lassoed boosting and linear prediction in the equities market","authors":"Huang Xiao","doi":"10.1080/07474938.2024.2359475","DOIUrl":"https://doi.org/10.1080/07474938.2024.2359475","url":null,"abstract":"We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"24 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141504068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models 在线性和非参数工具变量模型中检验同质治疗效果
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-05-13 DOI: 10.1080/07474938.2024.2342217
Jad Beyhum, Jean-Pierre Florens, Elia Lapenta, Ingrid Van Keilegom
{"title":"Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models","authors":"Jad Beyhum, Jean-Pierre Florens, Elia Lapenta, Ingrid Van Keilegom","doi":"10.1080/07474938.2024.2342217","DOIUrl":"https://doi.org/10.1080/07474938.2024.2342217","url":null,"abstract":"The hypothesis of homogeneous treatment effects is central to the instrumental variables literature. This assumption signifies that treatment effects are constant across all subjects. It allows to ...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"2015 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Powerful t-tests in the presence of nonclassical measurement error 存在非经典测量误差时的强力 t 检验
IF 1.2 4区 经济学
Econometric Reviews Pub Date : 2024-04-24 DOI: 10.1080/07474938.2024.2334166
Dongwoo Kim, Daniel Wilhelm
{"title":"Powerful t-tests in the presence of nonclassical measurement error","authors":"Dongwoo Kim, Daniel Wilhelm","doi":"10.1080/07474938.2024.2334166","DOIUrl":"https://doi.org/10.1080/07474938.2024.2334166","url":null,"abstract":"This article proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in a linear regression is equal to zero when a regressor is mismeasured. We assume there are two...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"60 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140831261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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