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- Average treatment effect;High dimension;Least absolute shrinkage and selection operator (Lasso);Nonparametric quantile regression;Nonseparable models;Quantile treatment effect;Unconditional average structural derivative (1)
- Central limit theorem (1)
- Explosive GARCH (1)
- Lattice structure (1)
- Limiting process (1)
Articles 1 - 3 of 3
Full-Text Articles in Economic Theory
Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang
Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang
Research Collection School Of Economics
This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and numerical differentiation, respectively, where control variables are selected via a localized method of L-1-penalization at each value of the continuous treatment. In the second stage we estimate the average and marginal distribution of the potential …
Limit Theory For Moderate Deviation From Integrated Garch Processes, Yubo Tao
Limit Theory For Moderate Deviation From Integrated Garch Processes, Yubo Tao
Research Collection School Of Economics
This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013).
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
Research Collection School Of Economics
This note studies the testable implications of the theory of stable matchings intwo-sided matching markets with one-sided preferences. Our main result connects therevealed preference analysis to the well-known lattice structure of the set of stablematchings, and tests the rationalizability of a data set by analyzing the joins andmeets of matchings.