K MENZEL - 2011 - eea-esem.com
Abstract. We propose Monte Carlo Markov Chain (MCMC) methods for estimation and
inference in incomplete game-theoretic models with a particular focus on settings in which
only a small number of observations for a given type of game is available. In particular we ...
J Hausman, K Menzel, R Lewis… - Draft MIT, 2007 - cemmap.com
2SLS is by far the most-used estimator for the simultaneous equation problem. However, it is
now well-recognized that 2SLS can exhibit substantial finite sample (second-order) bias
when the model is over-identified and the first stage partial R2 is low. The initial ...
K MENZEL, P MORGANTI - 2010 - daac.itam.mx
Abstract. We consider estimation of independent private auction models when only a subset
of the bids for each auction are observed. Even though many objects of interest remain
nonparametrically identified from incomplete bidding data, estimation of the distribution of ...
WK Newey, V Chernozhukov, K Menzel - 2009 - dspace.mit.edu
This thesis explores power and consistency of estimation and inference procedures with
moment inequalities, and applications of the moment inequality framework to estimation of
frontiers in finance. In the first chapter, I consider estimation of the identified set and ...
K MENZEL - 2008 - econ-new.stanford.edu
Abstract. In this paper, I consider estimation of the identified set and inference on a partially
identified parameter when the number of moment inequalities is large relative to sample
size. Many applications in the recent literature on set estimation have this feature- ...
J Hausman, K Menzel, R Lewis… - Journal of Econometrics, 2011 - Elsevier
In this paper, we analyze properties of the Continuous Updating Estimator (CUE) proposed
by Hansen et al.(1996), which has been suggested as a solution to the finite sample bias
problems of the two-step GMM estimator. We show that the estimator should be expected ...
Abstract. In this paper we introduce various set inference problems as they appear in finance
and propose practical and powerful inferential tools. Our tools will be applicable to any
problem where the set of interest solves a system of smooth estimable inequalities, though ...
[CITATION] Essays on Set Estimation and Inference with Moment Inequalities
K Menzel - 2009 - Massachusetts Institute of …
K MENZEL - 2011 - economics.sas.upenn.edu
Abstract. We propose Monte Carlo Markov Chain (MCMC) methods for estimation and
inference in incomplete game-theoretic models with a particular focus on settings in which
only a small number of observations for a given type of game is available. In particular we ...
Create email alert
About Google Scholar - All About Google - My Citations
©2012 Google