J Hahn, P Todd… - Econometrica, 2001 - Wiley Online Library
Ž. THE REGRESSION DISCONTINUITY RD data design is a quasi-experimental design with
the defining characteristic that the probability of receiving treatment changes discontinuously
as a function of one or more underlying variables. This data design arises frequently in ...
J Hahn - Econometrica, 1998 - JSTOR
In this paper, the role of the propensity score in the efficient estimation of average treatment
effects is examined. Under the assumption that the treatment is ignorable given some
observed characteristics, it is shown that the propensity score is ancillary for estimation of ...
J Hahn… - Econometrica, 2002 - Wiley Online Library
We develop a new specification test for IV estimators adopting a particular second order
approximation of Bekker. The new specification test compares the difference of the forward
(conventional) 2SLS estimator of the coefficient of the right-hand side endogenous ...
FX Diebold, J Hahn… - Review of Economics and Statistics, 1999 - MIT Press
We provide a framework for evaluating and improving multivariate density forecasts. Among
other things, the multivariate framework lets us evaluate the adequacy of density forecasts
involving cross-variable interactions, such as time-varying conditional correlations. We ...
J Hahn… - Econometrica, 2002 - Wiley Online Library
In this paper, we consider estimation of the autoregressive parameter 0 of a dynamic panel
data model with fixed effects. The model has additive individual time invariant intercepts
(fixed effects) along with a parameter common to every individual. The total number of ...
J Hahn… - The American Economic Review, 2003 - JSTOR
What is the weak-instruments (WI) problem and what causes it? Universal agreement does
not exist on these questions. We define weak instruments by two features:(i) two-stage least
squares (2SLS) analysis is badly biased toward the ordinary least-squares (OLS) estimate ...
J Hahn, J Hausman… - The Econometrics Journal, 2004 - Wiley Online Library
Summary In this paper, we consider parameter estimation in a linear simultaneous
equations model. It is well known that two-stage least squares (2SLS) estimators may
perform poorly when the instruments are weak. In this case 2SLS tends to suffer from the ...
M Buchinsky… - Econometrica, 1998 - JSTOR
The paper introduces an alternative estimator for the linear censored quantile regression
model. The objective function is globally convex and the estimator is a solution to a linear
programming problem. Hence, a global minimizer is obtained in a finite number of simplex ...
P Christoffersen, J Hahn… - Journal of empirical finance, 2001 - Elsevier
Value-at-Risk (VaR) has emerged as the standard tool for measuring market risk. Currently,
more than 80 commercial vendors offer risk management systems that report VaR-like
measures. Risk managers are therefore often left with the daunting task of choosing from a ...
J Hahn… - Econometrica, 2004 - Wiley Online Library
Fixed effects estimators of panel models can be severely biased because of the well-known
incidental parameters problem. We show that this bias can be reduced by using a panel
jackknife or an analytical bias correction motivated by large T. We give bias corrections for ...
J Hahn - Econometric Theory, 1995 - Cambridge Univ Press
Abstract The asymptotic variance matrix of the quantile regression estimator depends on the
density of the error. For both deterministic and random regressors, the bootstrap distribution
is shown to converge weakly to the limit distribution of the quantile regression estimator in ...
JD Angrist… - 1999 - nber.org
The problem of how to control for covariates is endemic in evaluation research. Covariate-
matching provides an appealing control strategy, but with continuous or high-dimensional
covariate vectors, exact matching may be impossible or involve small cells. Matching ...
J Hahn… - Economics Letters, 2002 - Elsevier
We derive an approximate finite sample bias expression for 2SLS. We apply it to the case of
non-identification and local non-identification. We also calculate the similar expression for
OLS. We find that 2SLS has less bias than OLS in all cases.
BS Graham… - Economics Letters, 2005 - Elsevier
This paper studies identification and estimation of the linear-in-means model of social
interactions. Using a quasi-panel data approach, we show how endogenous social effects
can be identified in the presence of unobserved group effects.
J Hahn… - Econometric Theory, 2011 - Cambridge Univ Press
The fixed effects estimator of panel models can be severely biased because of wellknown
incidental parameter problems. It is shown that this bias can be reduced in nonlinear
dynamic panel models. We consider asymptotics where n and T grow at the same rate as ...
J Hahn - Journal of econometrics, 1999 - Elsevier
I consider estimation of the autoregressive panel model with fixed effects yit= ci+ βyi, t− 1+
εit. I investigate the estimation method developed by Blundell and Bond (1998), which
makes use of the stationarity of the initial levels. I do it by numerically comparing the ...
J Hahn… - Annales d'Économie et de Statistique, 2005 - JSTOR
We demonstrate analytically that for the widely used simultaneous equation model with one
jointly endogenous variable and valid instruments, 2SLS has smaller MSE error, up to
second order, than OLS unless the R², or the F statistic of the reduced form equation is ...
J Hahn, J Hausman… - 2001 - papers.ssrn.com
Abstract: This paper analyzes the second order bias of instrumental variables estimators for
a dynamic panel model with fixed effects. Three different methods of second order bias
correction are considered. Simulation experiments show that these methods perform well ...
J Hahn, J Hausman… - Journal of Econometrics, 2007 - Elsevier
This paper proposes a new instrumental variables estimator for a dynamic panel model with
fixed effects with good bias and mean squared error properties even when identification of
the model becomes weak near the unit circle. We adopt a weak instrument asymptotic ...
J Hahn - Econometric Theory, 2002 - Cambridge Univ Press
Abstract In this paper, I derive the efficiency bound of the structural parameter in a linear
simultaneous equations model with many instruments. The bound is derived by applying a
convolution theorem to Bekker's (1994, Econometrica 62, 657–681) asymptotic ...
J Hahn… - Economics Letters, 2002 - Elsevier
We consider two stage least squares (2SLS) estimators of a simple simultaneous equations
model when identification fails asymptotically. We investigate how the limiting distribution of
the estimator changes as we vary our parametrization to allow for increasing degrees of ...
[CITATION] Understanding bias in nonlinear panel models: Some recent developments
M Arellano, J Hahn - Econometric …, 2007 - CAMBRIDGE UNIVERSITY PRESS
J Hahn - Journal of Econometrics, 1997 - Elsevier
This paper considers asymptotically efficient estimation of the panel data models with
sequential moment restrictions in an environment with iid observations. It is shown that the
GMM estimator with an increasing set of instruments attains the semiparametric efficiency ...
J Hahn - The Review of Economic Studies, 1994 - restud.oxfordjournals.org
Abstract The semiparametric efficiency bound of the mixed proportional hazard model is
derived. The density of the model factors in such a way that there exists a complete sufficient
statistic for the individual heterogeneity. The efficient score is shown to be the difference ...
J Hahn… - Econometric Reviews, 2002 - Taylor & Francis
ABSTRACT We examine empirical relevance of three alternative asymptotic approximations
to the distribution of instrumental variables estimators by Monte Carlo experiments. We find
that conventional asymptotics provides a reasonable approximation to the actual ...
V Chernozhukov, I Fernández-Val, J Hahn… - Econometrica, 2009 - bu.edu
Abstract This paper gives identification and estimation results for marginal effects in
nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in
part to marginal effects not being identified. We derive bounds for marginal effects and ...
J Hahn - Econometric Theory, 1996 - Cambridge Univ Press
Abstract Recently, Arcones and Giné (1992, pp. 13–47, in R. LePage & L. Billard [eds.],
Exploring the Limits of Bootstrap, New York: Wiley) established that the bootstrap distribution
of the M-estimator converges weakly to the limit distribution of the estimator in probability. ...
J Hahn… - Econometric Theory, 2006 - Cambridge Univ Press
Abstract This paper investigates a simple dynamic linear panel regression model with both
fixed effects and time effects. Using “large n and large T” asymptotics, we approximate the
distribution of the fixed effect estimator of the autoregressive parameter in the dynamic ...
J Hahn - Econometric Theory, 2001 - Cambridge Univ Press
In this paper, I calculate the semiparametric information bound in two dynamic panel data
logit models with individual specific effects+ In such a model without any other regressors, it
is well known that the conditional maximum likelihood estimator yields a! n-consistent ...
J Hahn, JC Ham… - Journal of Econometrics, 2011 - Elsevier
We consider the following problem. There is a structural equation of interest that contains an
explanatory variable that theory predicts is endogenous. There are one or more instrumental
variables that credibly are exogenous with regard to this structural equation, but which ...
P Guggenberger, J Hahn… - Economics Letters, 2008 - Elsevier
We provide a specification test for moment inequalities based on a dual characterization of
the moment inequalities. For linear moment inequalities, the test is the asymptotic version of
the multi-dimensional linear one-sided tests. For nonlinear moment inequalities, the ...
J Hahn - International Economic Review, 1997 - JSTOR
The large sample property of the Bayesian bootstrap distribution of the quantile regression
estimator is investigated. When the pair of dependent and independent variables are
resampled, the Bayesian bootstrap is shown to converge weakly in probability to the ...
J Hahn… - Review of Economics and Statistics, 2011 - MIT Press
Abstract It is shown that in a nonparametric nonseparable triangular system, the conditional
moment restriction (CMR) does not identify the average structural function (ASF). The CMR
identifies the ASF only if the model is structurally separable in observable covariates and ...
J Hahn, G Kuersteiner… - Unpublished manuscript, 2002 - econ.ucla.edu
Abstract Pfanzagl and Wefelmeyer (1978) show that bias corrected ML estimators are higher
order efficient. Their procedure however is computationally complicated because it requires
integrating complicated functions over the distribution of the MLE estimator. The purpose ...
P Guggenberger… - Econometric Reviews, 2005 - Taylor & Francis
ABSTRACT We investigate the finite sample properties of two-step empirical likelihood (EL)
estimators. These estimators are shown to have the same third-order bias properties as EL
itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to ...
J Hahn - Journal of Business & Economic Statistics, 2001 - ideas.repec.org
3. Jeffrey M. Wooldridge, 2004." On the robustness of fixed effects and related estimators in
correlated random coefficient panel data models," CeMMAP working papers CWP04/04,
Centre for Microdata Methods and Practice, Institute for Fiscal Studies.[Downloadable!]
J Hahn - Review of Economics and Statistics, 2004 - MIT Press
SUPPOSE that we would like to estimate the average effect of a binary treatment Di on a
certain outcome. If the treatment assignment is independent of the potential outcomes given
some observed covariates Xi, biases associated with simple treatment-control ...
D Ackerberg, X Chen… - Review of Economics and Statistics, 2009 - MIT Press
Abstract The goal of this paper is to develop techniques to simplify semiparametric
inference. We do this by deriving a number of numerical equivalence results. These illustrate
that in many cases, one can obtain estimates of semiparametric variances using standard ...
D Ackerberg, J Geweke… - Econometrica, 2009 - Wiley Online Library
We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio-Ramírez,
and Santos (Econometrica (2006), 74, 93–119) is false. We also show that even if their
Proposition 2 were corrected, it would be irrelevant for parameter estimates. As a more ...
J Hahn - Econometric Theory, 1997 - Cambridge Univ Press
This paper investigates the semiparametric efficiency of the conditional maximum likelihood
estimation in some panel models. The nonparametric component of the model is the
unknown distribution of the fixed effect. For the exponential panel model, there exists a ...
A Foster… - Economics Letters, 2000 - Elsevier
In this paper, we examine the consequences of demand-function heterogeneity for the
estimation of the consumer surplus. In particular, we show that, given a linear demand
function with random coefficients, one can consistently estimate the consumer surplus ...
P Bajari, J Hahn, H Hong… - International Economic …, 2011 - Wiley Online Library
Bajari, P., Hahn, J., Hong, H. and Ridder, G.(2011), A NOTE ON SEMIPARAMETRIC
ESTIMATION OF FINITE MIXTURES OF DISCRETE CHOICE MODELS WITH APPLICATION
TO GAME THEORETIC MODELS. International Economic Review, 52: 807–824. doi: ...
J Hahn - Economics Letters, 2004 - Elsevier
Panel data allow the possibility of controlling for unobserved individual heterogeneity. Models
and methods of controlling for unobserved heterogeneity in linear models are well
established. Controlling for unobserved heterogeneity is more difficult in nonlinear ...
[CITATION] Estimation of treatment effects with a quasiexperimental regression-discontinnity design: with application to evaluating the effect of federal …
J Hahn, P Todd… - 1998 - Mimeo.(Department of Economics, …
P Christoffersen… - Proceedings of the Sixth …, 1999 - en.scientificcommons.org
Abstract Derivative securities are widely traded nancial instruments which inherit their
properties from the underlying assets. The well-known Black and Scholes formula [Black
and Scholes 1973] is one of the few cases where the price of a derivative asset (a ...
P Christoffersen, J Hahn… - 1999 - papers.ssrn.com
Abstract: Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting
financial market risk. Currently, more than eighty commercial vendors offer enterprise or
trading risk management systems which report VaR-like measures. Risk managers are ...
[CITATION] 'Estimation of Treatment Effects with a Quasi-Experimental Regression-Discontinuity Design
J Hahn, P Todd… - University of Pennsylvania Department of …, 1997
G Kézdi, J Hahn… - Economics Letters, 2002 - Elsevier
We propose a jackknife minimum distance estimator designed to reduce the finite-sample
bias of the optimal minimum distance estimator. Monte Carlo results indicate that our
jackknife minimum distance estimator is a promising alternative to existing minimum ...
J Hahn, G Kuersteiner… - Economics Letters, 2004 - Elsevier
We consider a dynamic panel AR (1) model with fixed effects when both n and T are large. It
is shown that the MLE motivated by the random effects assumption is asymptotically
unbiased even when the assumption is violated.
J Hahn… - Work, 2009 - econ.puc-rio.br
Abstract We consider statistical inference on a single component of a parameter vector that
satisfies a finite number of moment inequalities. The null hypothesis for this single
component is given a dual characterization as a composite hypothesis regarding point ...
J Hahn, G Kuersteiner… - 2007 - econ.ucdavis.edu
Abstract This paper considers bandwidth selection for spectral density estimators based on
panel data sets. The spectral densities of greatest interest in this paper are the ones that
appear in the bias expression for fixed effects estimators in nonlinear dynamic panel ...
J Hahn… - forthcoming in Econometrica, 2010 - www-personal.umich.edu
Abstract We study the asymptotic distribution of three# step estimators of a finite dimensional
parameter vector where the second step consists of one or more non# parametric regres#
sions on a regressor that is estimated in the first step. The first# step estimator is either ...
J Hahn,
K Hirano… - Journal of Business and Economic Statistics, 2011 - ASA
Many social experiments are run in multiple waves or replicate earlier social experiments. In
principle, the sampling design can be modified in later stages or replications to allow for
more efficient estimation of causal effects. We consider the design of a two-stage ...
[CITATION] Testable Implications of Multiple Unobservables in Structural Nonparametric Nonseparable Models
D Ackerberg, J Hahn… - 2010
[CITATION] Identification and estimation of marginal effects in nonlinear panel data models
V Chernozhukov, I Fernández-Val, J Hahn… - 2008 - CEMMAP Working Paper CWP25/08
BS Graham, J Hahn… - working paper, University of Californ …, 2009 - files.nyu.edu
Page 1. A Quantile Correlated Random Coefficient Panel Data Model Bryan Graham, Jinyong
Hahn, and James Powell NYU, UCLA and UC Berkeley All-UC Econometrics Conference
September 26, 2009 -1- Page 2. Empirical Application Nicaraguan Data Set: ...
J Hahn… - Econometric Theory, 2005 - Cambridge Univ Press
This paper generalizes the intuition of Hausman and Taylor~ 1981, Econometrica 49, 1377–
1398! and develops a method of dealing with a time-invariant regressor in nonlinear panel
models with fixed effects+ We illustrate the usefulness of our result by discussing the ...
[CITATION] Jerry Hausman und Guido Kuersteiner, 2007. Long difference instrumental variables estimation for dynamic panel models with fixed effects
J Hahn - Journal of Econometrics
J Hahn… - Economics Letters, 2010 - Elsevier
We establish strict stationarity and strong mixing properties of the dynamic Tobit process.
Using these results we show that the regularity conditions for bias corrections in general non-
linear dynamic panel models are satisfied for the dynamic Tobit model.
[CITATION] 0On the Role of the Propensity Score in Efficient SemiM Parametric Estimation of Average Treatment Effects1
J Hahn - Econometrica
[CITATION] On the Role of the Propensity Score in Efficient Semiparametric
J Hahn - 1998
[CITATION] Higher order MSE of jackknife 2SLS
JA Hausman, J Hahn… - Department of Economics, MIT, working paper, 2001
[CITATION] AEvaluating the Effect of An Antidiscrimination Law Using a Regression-Discontinuity Design.@ National Bureau of Economic Research Working Paper …
J Hahn, P Todd… - 1999
[CITATION] Finite Sample Properties of the 2-step Empirical Likelihood Estimator
G Patrik… - Econometric Reviews, 2005
[CITATION] Wilbert Van der Klauww (2001),“Identification of Treatment Effects by Regression-Discontinuity Design”
J Hahn… - Econometrica
BS Graham, J Hahn… - Economics Letters, 2009 - Elsevier
We consider a panel quantile model with fixed effects. It is shown that the maximum
likelihood estimator is numerically equivalent to the least absolute deviations estimator of
the differenced model, and as a consequence, there is no incidental parameter problem.
[CITATION] sInstrumental Variable Estimation with Valid and Invalid Instruments. tUnpublished paper
J Hahn… - Cambridge, MA, July, 2005
K Hirano… - Economics Letters, 2010 - Elsevier
Your selection(s) could not be saved due to an internal error. Please try again. ... Received 30
January 2009. Revised 10 September 2009. Accepted 16 September 2009. Available online
29 September 2009. ... We consider randomized experiments with two levels of ...
J Hahn… - forthcoming in Economics Letters, 2009 - econ.arizona.edu
Abstract We consider the use of randomized experiments to measure social interaction
effects. Randomization at two levels—across groups and within groups—can resolve an
omitted variables problem for a linear-in-means model of endogenous social interactions. ...
J Hahn, J Ham… - available at: www-rcf. usc. edu/~ …, 2010 - www-bcf.usc.edu
Here we generalize the heteroskedastic case to allow ß to be a K% vector. Since the size of
the Hausman test is valid only when L9 1 K, we assume that the dimension of the weak IVms
is also K. In this case, the Hausman test statistic would take the form &
M Buchinsky, J Hahn - Economics Letters, 2010 - Elsevier
We develop a simulation based approach that can determine whether the semiparametric
efficiency bound of a dynamic discrete choice model with fixed effects is zero or not. We
illustrate the usefulness of our approach by considering a simplified version of Keane and ...
J Hahn, J Ham… - 2010 - www-bcf.usc.edu
Abstract Comparisons of within and between estimators using the conventional Hausman
test may be subject to statistical problems if the within variation is not suffi ciently large.
Adopting an al% ternative asymptotic approximation, we propose a modification of ...
D Ackerberg, X Chen… - Cowles Foundation Discussion …, 2011 - ideas.repec.org
The goal of this paper is to develop techniques to simplify semiparametric inference. We do
this by deriving a number of numerical equivalence results. These illustrate that in many
cases, one can obtain estimates of semiparametric variances using standard formulas ...
J Hahn - Economics Letters, 2010 - Elsevier
The past two decades saw a tremendous growth of research on estimation of treatment effects
in the context of program evaluation. It is now well-understood that the average treatment effects
(ATE) is identified when the binary treatment variable is exogenous (given observable ...
P Bajari, J Hahn, H Hong… - International Economic …, 2008 - dornsife.usc.edu
Recently, there has been considerable interest in the econometric analysis of static, discrete
games. In this literature, a game is a generalization of a standard discrete choice model,
such as a binary logit or probit. As in a discrete choice model, an agent's payoffs are a ...
J Hahn… - Home Pages - econpapers.repec.org
Related works: Journal Article: A consistent semiparametric estimation of the consumer surplus
distribution (2000) This item may be available elsewhere in EconPapers: Search for items with
the same title. ... This site is part of RePEc and all the data displayed here is part of the ...
KH Ucla, G Ridder, J Hahn… - 2000 - en.scientificcommons.org
Abstract We are interested in estimating the average e ect of a binary treatment on a scalar
outcome. If assignment to the treatment is independent of the potential outcomes given
pretreatment variables, biases associated with simple treatment-control average ...
[CITATION] First Draft–Please do not quote without permission
J Hahn… - 2003
H Jinyong, J HAUSMAN - Annales d'Economie et de Statistique, 2005 - ideas.repec.org
We demonstrate analytically that for the widely used simultaneous equation model with one
jointly endogenous variable and valid instruments, 2SLS has smaller MSE error, up to
second order, than OLS unless the R², or the F statistic of the reduced form equation is ...
[CITATION] 2004 Far Eastern Meeting of the Econometric Society (2003, Vol. 29, No. 37.)
YK Che, S Chen, S Fukuda, J Hahn, UC Horioka…
J Hahn… - Economics Letters, 2011 - Elsevier
Abstract It is examined how Bayesian inference might proceed in models with many
instruments. A new prior specification based on Lancaster's (1997) parameter
orthogonalization is developed. This orthogonalization is shown to guarantee that the ...
M Buchinsky… - Working Papers - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
J Hahn, WK Newey… - CeMMAP working papers, 2011 - cemmap.ac.uk
Abstract The central concern of the paper is with the formulation of tests of neglected
pa'rameter heterogeneity appropriate for model environments specified by a number of
unconditional or conditional moment conditions. We initially consider the uncondi'tional ...
J Hahn - Economics Letters, 2001 - Elsevier
For the linear simultaneous equations model (LSEM) with random structural coefficients, it is
sometimes of interest to identify the distribution of those structural coefficients. It is shown
that the structural parameter distribution can be identified if the distribution of the ...
FX Diebold, J Hahn… - 2002 - en.scientificcommons.org
Abstract We provide a framework for evaluating and improving multivariate density forecasts.
Among other things, the multivariate framework lets us evaluate the adequacy of density
forecasts involving cross-variable interactions, such as time-varying conditional ...
J Hahn, J Ham… - Economics Letters, 2011 - ideas.repec.org
Comparisons of within and between estimators using the conventional Hausman test may
be subject to statistical problems if the within variation is not sufficiently large. Adopting an
alternative asymptotic approximation, we propose a modification of Hausman test that is ...
J Hahn… - Econometric Theory, 2010 - Cambridge Univ Press
We study a nonlinear panel data model in which the fixed effects are assumed to have finite
support. The fixed effects estimator is known to have the incidental parameters problem. We
contribute to the literature by making a qualitative observation that the incidental ...
[CITATION] Identification and Estimation of Marginal Effects in Nonlinear Panel Models
I Fernandez-Val…
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