Li Gan,Guan Gong,Michael Hurd et al.
Li Gan et al.
This paper investigates the ability of subjective expectations about life expectancy to predict wealth holding patterns in later life. Based on panel data from the Asset and Health Dynamics among the Oldest Old, we estimate a structural lif...
Jianqing Fan,Weichen Wang,Yiqiao Zhong
Jianqing Fan
In this paper, we study robust covariance estimation under the approximate factor model with observed factors. We propose a novel framework to first estimate the initial joint covariance matrix of the observed data and the factors, and then...
Jianqing Fan,Lingzhou Xue,Jiawei Yao
Jianqing Fan
We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal com...
Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models [0.03%]
同时处理未指定异方差模型误差分布和测量错误的协变量以求有限矩母体模型中的解
Tanya P Garcia,Yanyuan Ma
Tanya P Garcia
We develop consistent and efficient estimation of parameters in general regression models with mismeasured covariates. We assume the model error and covariate distributions are unspecified, and the measurement error distribution is a genera...
A weak instrument [Formula: see text]-test in linear IV models with multiple endogenous variables [0.03%]
多个内生变量的线性工具变量模型中的弱工具变量[公式]检验
Eleanor Sanderson,Frank Windmeijer
Eleanor Sanderson
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we co...
Wei Lan,Ping-Shou Zhong,Runze Li et al.
Wei Lan et al.
In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the...
Jianqing Fan,Fang Han,Han Liu et al.
Jianqing Fan et al.
We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extens...
Local Composite Quantile Regression Smoothing for Harris Recurrent Markov Processes [0.03%]
Harris recurrent马尔可夫过程的局部复合分位数平滑回归
Degui Li,Runze Li
Degui Li
In this paper, we study the local polynomial composite quantile regression (CQR) smoothing method for the nonlinear and nonparametric models under the Harris recurrent Markov chain framework. The local polynomial CQR regression method is a ...
John Bound,Todd Stinebrickner,Timothy Waidmann
John Bound
We specify a dynamic programming model that addresses the interplay among health, financial resources, and the labor market behavior of men late in their working lives. We model health as a latent variable, for which self reported disabilit...
Dynamic Treatment Effects [0.03%]
动态治疗效应
James J Heckman,John Eric Humphries,Gregory Veramendi
James J Heckman
This paper develops robust models for estimating and interpreting treatment effects arising from both ordered and unordered multistage decision problems. Identification is secured through instrumental variables and/or conditional independen...