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[PDF] Identification of nonseparable models with general instruments

[PDF] from psu.edu
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 ...
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[PDF] Identification and estimation of nonparametric quantile regressions with endogeneity

[PDF] from yale.edu
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 ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries - All 6 versions

[PDF] Sensitivity Analysis in Semiparametric Likelihood Models

[PDF] from psu.edu
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 ...
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Sensitivity Analysis in Semiparametric Likelihood Models

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 ...
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[PDF] Addendum for” Identification of Nonseparable Models with General Instruments”: The Multivariate Case

[PDF] from google.com
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 ...
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[PDF] Identification in Nonseparable Models by Nonparametric Copula Restrictions

[PDF] from webmeets.com
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 ...
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[PDF] Pricing Arbitrary Fixed Income Derivatives With Short Rate Trees

[PDF] from psu.edu
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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