A Torgovitsky - 2011 - econ.la.psu.edu
Abstract I consider nonparametric identification of a nonseparable model with a continuous
endogenous variable (treatment), a scalar unobservable and an excluded instrumental
variable. If the first-stage relationship between the instrument and the treatment is strictly ...
A Torgovitsky - 2010 - mailhost.econ.yale.edu
Abstract I consider identification of nonparametric quantile regressions with endogenous
regressors and an excluded instrumental variable. This model has an outcome equation that
is both nonlinear and nonseparable in a latent variable which may be arbitrarily ...
X Chen, E Tamer… - Cowles Foundation Discussion …, 2011 - econ.la.psu.edu
Abstract We provide methods for inference on a finite dimensional parameter of interest, θ∈
dθ, in a semiparametric probability model when an infinite dimensional nuisance parameter,
g, is present. We depart from the semiparametric literature in that we do not require that ...
YC Submitter, X Chen, E Tamer… - 2011 - papers.ssrn.com
Abstract: We provide methods for inference on a finite dimensional parameter of interest,
theta in Re^{d_theta}, in a semiparametric probability model when an infinite dimensional
nuisance parameter, g, is present. We depart from the semiparametric literature in that we ...
A Torgovitsky - 2011 - sites.google.com
This addendum discusses extension of the model in Torgovitsky (2011) to the case where
there are multiple endogenous regressors. All of the assumptions and results have natural
multivariate counterparts, with the important exception of the relevance condition for a ...
A Torgovitsky - 2010 - webmeets.com
Abstract This paper considers identification of nonparametric quantile models with
endogeneity, given the existence of an excluded instrumental variable. I demonstrate that
these models can be viewed as fixed-marginal problems and introduce a novel condition ...
A Torgovitsky - 2006 - Citeseer
Abstract We present a generalized framework for using short rate trees to price fixed income
derivatives, including procedures for solving long term and exotic instruments. Using
optimization techniques to quickly build quadratic spline-like curves, we detail methods for ...
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