J Hausman, WK Newey, T Woutersen, J Chao… - 2009 - econ.arizona.edu
Abstract This paper gives a relatively simple, well behaved solution to the problem of many
instruments in heteroskedastic data. Such settings are common in microeconometric
applications where many instruments are used to improve efficiency and allowance for ...
G Ridder… - Econometrica, 2003 - Wiley Online Library
Page 1. Econometrica, Vol. 71, No. 5 (September, 2003), 1579–1589 THE
SINGULARITY OF THE INFORMATION MATRIX OF THE MIXED PROPORTIONAL
HAZARD MODEL BY GEERT RIDDER AND TIEMEN M. WOUTERSEN1 ...
JC Chao, NR Swanson, JA Hausman… - Econometric …, 2011 - Cambridge Univ Press
It has long been known that the two-stage least squares (2SLS) estimator is biased with
many instruments (see, eg, Sawa, 1968; Phillips, 1983; and the references cited therein). In
large part because of this problem, various approaches have been proposed in the ...
T Woutersen - Unpublished manuscript, Department of …, 2006 - economics.rutgers.edu
Abstract. This note proposes a new way to calculate confidence intervals of partially
identified parameters. It extends earlier work by letting the point identified case be a special
case, by using the regular bootstrap to construct the confidence interval, and by allowing ...
JA Hausman… - Johns Hopkins University, 2005 - cemmap.ac.uk
Page 1. ESTIMATING A SEMI-PARAMETRIC DURATION MODEL WITHOUT SPECIFYING
HETEROGENEITY Jerry A. Hausman Tiemen M. Woutersen THE INSTITUTE FOR FISCAL
STUDIES DEPARTMENT OF ECONOMICS, UCL cemmap working paper CWP11/05 Page 2. ...
T Woutersen… - Econometric Theory, 2011 - Cambridge Univ Press
This paper considers dynamic time series binary choice models. It proves near epoch
dependence and strong mixing for the dynamic binary choice model with correlated errors.
Using this result, it shows in a time series setting the validity of the dynamic probit ...
TM Woutersen - Econometric Society World Congress, 2000 - fmwww.bc.edu
Page 1. Consistent Estimators for Panel Duration Data with Endogenous Censoring
and Endogenous Regressors¤ Tiemen M. Woutersen Brown University January 3,
2000 Abstract The estimation of duration models is complicated ...
T Woutersen - 2011 - emeraldinsight.com
Abstract Observations in a dataset are rarely missing at random. One can control for this non-
random selection of the data by introducing fixed effects or other nuisance parameters. This
chapter deals with consistent estimation the presence of many nuisance parameters. It ...
[CITATION] Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity
J Hausman… - 2008 - mimeo
TM Woutersen - 2000 - en.scientificcommons.org
T Woutersen… - 2005 - ideas.repec.org
This paper presents a new estimator for the mixed proportional hazard model that allows for
a nonparametric baseline hazard and time-varying regressors. In particular, this paper
allows for discrete measurement of the durations as happens often in practice. The ...
[CITATION] A semi-parametric duration model with heterogeneity that does not need to be estimated
J Hausman… - Econometric Society World Congress, 2005
Abstract This paper derives informative bounds of the effect of early childbearing on high
school completion. We allow the exclusion restriction of the instrument to be violated. In
particular, we assume that the correlation between the instrument and the structural error ...
T Woutersen - Econometric Society World Congress 2000 …, 2000 - econpapers.repec.org
My paper proposes a new method to estimate duration models. In particular, it shows that
the integrated hazard yields moment functions that solve the following, recognized
estimation problems: 1. Van den Berg notes in the forthcoming Handbook of Econometrics ...
AJ Robson… - Economics Bulletin, 2007 - sfu.ca
ABSTRACT This paper investigates the effect of the consumption of food on mortality–in
particular the startling but real possibility that an reduction in calories can lead to a increase
in longevity. In perhaps the simplest model, one that trades off survival and fertility, it may ...
Abstract This paper derives informative bounds of the effect of early childbearing on high
school completion. We allow the exclusion restriction of the instrument to be violated. In
particular, we assume that the correlation between the instrument and the structural error ...
[CITATION] Semiparametric and Method of Moments Estimation of Duration Models with Exogenous and Endogenous Regressors
G Ridder… - 2003
T Woutersen - 2009 - www-personal.umich.edu
Abstract This paper develops a new objective function that can be used to estimate models
with discrete endogenous regressors. The basis for the objective function is the objective
function that one would have used if all covariates were assigned randomly. The paper ...
T Woutersen - UWO Department of Economics Working …, 2002 - econpapers.repec.org
Abstract: This paper develops the minimal asymptotic distributions for estimators of panel data
models with incidental parameters. ... Related works: This item may be available elsewhere
in EconPapers: Search for items with the same title. ... Ordering information: This working ...
T Woutersen… - 2004 - http-server.carleton.ca
Abstract This paper shows how the dynamic linear model with fixed effects and regressors
can be efficiently estimated using a method that gives better results than alternative,
available estimators. In particular, we derive the integrated moment estimator for this ...
NR Swanson, JC Chao, JA Hausman… - Departmental …, 2011 - ideas.repec.org
This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and
gives formulae for accompanying consistent standard errors in the presence of
heteroskedasticity and many instruments. The asymptotic framework includes the many ...
JC Ham, X Li, PB Reagan, P Todd, I Tunali… - University of …, 2005 - Citeseer
Abstract Our analysis of migration differs from previous research in three important aspects.
First, we exploit the confidential geocoding in the NLSY79 to obtain a distance-based
measure. Second, we let the effect of migration on wage growth differ by schooling level. ...
M Voia… - 2004 - sfu.ca
Abstract This paper develops an estimation methodology that applies to employment
experiments with selection problems. In particular a counterfactual estimator is constructed
for a non-compliance group. The estimation methodology can be used to answer policy ...
T Woutersen - 2003 - emeraldinsight.com
Abstract: One way to control for the heterogeneity in panel data is to allow for time-invariant,
individual specific parameters. This fixed effect approach introduces many parameters into
the model which causes the “incidental parameter problem”: the maximum likelihood ...
[CITATION] An Empirical Analysis of Canadian and American Firm-Level Productivity in the Electronics Equipment Industry
C Leith, J Fried… - 2002
J Chao, NR Swanson… - Unpublished manuscript, 2011 - econ.arizona.edu
Abstract In a recent paper, Hausman et al.(2012) propose a new estimator, HFUL
(Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is
consistent and asymptotically normally distributed in the many instruments and many ...
A Robson… - Economics Bulletin, 2007 - ideas.repec.org
We consider the problem of selecting a subset of a feasible set over which each agent has a
strict preference. We propose an invariance property, converse reduction-consistency, which
is the converse of reduction-consistency introduced by Yeh (2006), and study its ...
T Woutersen - Computing in Economics and Finance 2001, 2001 - ideas.repec.org
Neyman and Scott define the incidental-parameter problem. In panel data with $ T $
observations per individual, the estimator of the common parameter is usually constistent
with O (1/T). This paper shows that the integrated likelihood estimator becomes consistent ...
NR Swanson, JC Chao, JA Hausman… - Departmental …, 2011 - ideas.repec.org
This paper gives a test of overidentifying restrictions that is robust to many instruments and
heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a
numerator that is the objective function minimized by the JIVE2 estimator of Angrist, ...
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