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[PDF] Instrumental variable estimation with heteroskedasticity and many instruments

[PDF] from arizona.edu
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 ...
Cited by 41 - Related articles - View as HTML - All 45 versions

The singularity of the information matrix of the mixed proportional hazard model

[PDF] from arizona.edu
Full text - MIT Libraries
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 ...
Cited by 27 - Related articles - BL Direct - All 12 versions

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

[PDF] from virginia.edu
Full text - MIT Libraries
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 ...
Cited by 15 - Related articles - All 22 versions

[PDF] A Simple Way to Calculate Confidence Intervals for Partially Identified Parameters

[PDF] from rutgers.edu
T Woutersen - Unpublished manuscript, Department of …, 2006 - economics.rutgers.edu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 ...
Cited by 12 - Related articles - View as HTML - All 5 versions

[PDF] Estimating a semi–parametric duration model without specifying heterogeneity

[PDF] from cemmap.ac.uk
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. ...
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Dynamic time series binary choice

[PDF] from arizona.edu
Full text - MIT Libraries
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 ...
Cited by 9 - Related articles - All 8 versions

[PDF] Consistent estimators for panel duration data with endogenous censoring and endogenous regressors

[PDF] from bc.edu
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 ...
Cited by 6 - Related articles - View as HTML - All 2 versions

Consistent estimation and orthogonality

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 ...
Cited by 6 - Related articles - All 3 versions

[CITATION] Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity

J Hausman… - 2008 - mimeo
Cited by 3 - Related articles

[CITATION] Essays on the integrated hazard and orthogonality concepts

TM Woutersen - 2000 - en.scientificcommons.org
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Estimating a Semi-Parametric Duration Model without Specifying Heterogeneity

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 ...
Cited by 2 - Related articles - Cached - All 4 versions

[CITATION] A semi-parametric duration model with heterogeneity that does not need to be estimated

J Hausman… - Econometric Society World Congress, 2005
Cited by 2 - Related articles

[PDF] Endogeneity and Imperfect Instruments: Estimating Bounds for the Effect of Early Childbearing on High School Completion

[PDF] from uiowa.edu
S Reinhold… - 2009 - tippie.uiowa.edu
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 ...
Cited by 2 - Related articles - View as HTML - All 10 versions

Estimators for Panel Duration Data with Endogenous Censoring and Endogenous Regressors

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 ...
Cited by 1 - Related articles - Cached - All 4 versions

[PDF] The effect of food intake on longevity

[PDF] from sfu.ca
Full text - MIT Libraries
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 ...
Cited by 1 - Related articles - View as HTML - All 11 versions

[PDF] Endogeneity and Imperfect Instruments in Applied Work: Deriving Bounds in a Semiparametric Model

[PDF] from ncsu.edu
S Reinhold… - 2011 - ncsu.edu
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 ...
Cited by 1 - Related articles - View as HTML

[CITATION] Semiparametric and Method of Moments Estimation of Duration Models with Exogenous and Endogenous Regressors

G Ridder… - 2003
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[PDF] Instrumental Variable Estimation with Discrete Endogenous Regressors

[PDF] from umich.edu
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 ...
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[CITATION] Minimal Asymptotic Distributions for Estimators of Panel Data Models

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 ...
Cached - Library Search - All 11 versions

[PDF] Efficient Estimation of the Dynamic Linear Model with Fixed Effects and Regressors

[PDF] from carleton.ca
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 ...
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Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments

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 ...
Cached - All 3 versions

2003):“Propensity Score Matching, a DistanceBased Measure of Migration, and the Wage Growth

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. ...
Cached

[PDF] Estimating the non-compliance in employment experiments. An Application to the Illinois Bonus Experiment

[PDF] from sfu.ca
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 ...
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BAYESIAN ANALYSIS OF MISSPECIFIED MODELS WITH FIXED EFFECTS

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 ...
Related articles - BL Direct - All 4 versions

[CITATION] An Empirical Analysis of Canadian and American Firm-Level Productivity in the Electronics Equipment Industry

C Leith, J Fried… - 2002
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[PDF] An Expository Note on the Existence of Moments of Fuller and HFUL Estimators

[PDF] from arizona.edu
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 ...
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Efficiency and converse reduction-consistency in collective choice

Full text - MIT Libraries
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 ...
Cached - All 4 versions

Robustness against priors and mixing distributions

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 ...
Related articles - Cached - All 5 versions

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity

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, ...
Cached - All 3 versions

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