Essays in non- and semiparametric econometrics [Elektronische Ressource] / vorgelegt von Christoph Rothe

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.Essays in Non- and SemiparametricEconometricsInauguraldissertation zur Erlangung des akademischen Grades einesDoktors der Wirtschaftswissenschaften der Universit¨at Mannheimvorgelegt vonChristoph RotheApril 2009.Abteilungssprecher: Prof. Dr. Enno MammenReferent: Prof. Dr. Enno MammenKoreferent: Prof. Richard Blundell, Ph.D.Tag der Verteidigung: 28.05.2009iiAcknowledgementsFirst of all, I would like to thank my adviser Enno Mammen for his guidance and su-pervision during the process of writing this thesis. He introduced me to the fascinatingfield of non- and semiparametric econometrics, and my research has benefited a lot fromhis deep knowledge about statistics. During my time at the Chair of Statistics, I havereceived all the support I could ever have asked for, and I am very grateful for that.I also wish to thank Richard Blundell for advice on my thesis and beyond. I benefiteda lot from four very encouraging and insightful months in London that did not onlybroaden my perspective on my own topic but on econometrics in general.I would also like to thank my colleagues at the Chair of Statistics, in particularKyusang Yu, Melanie Schienle and Christoph Nagel, for all the lively discussions abouteconometrics, statistics and essentially anything else. The same goes for my fellow grad-uate students at the CDSE, who were important contributors to the wonderful researchatmosphere I experienced here.
Publié le : jeudi 1 janvier 2009
Lecture(s) : 25
Source : D-NB.INFO/995323097/34
Nombre de pages : 108
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EssaysinNon-andSemiparametric

Econometrics

InauguraldissertationzurErlangungdesakademischenGradeseines

DoktorsderWirtschaftswissenschaftenderUniversit¨atMannheim

vorgelegtvon

ChristophRothe

April2009

.

Abteilungssprecher:

Referent:

Koreferent:

TagderVerteidigung:

.forP

P.for

.forP

D.r

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onnE

onnE

Mammen

Mammen

RichardBlundell,Ph.D.

28.05.2009

ii

Acknowledgements

Firstofall,IwouldliketothankmyadviserEnnoMammenforhisguidanceandsu-
pervisionduringtheprocessofwritingthisthesis.Heintroducedmetothefascinating
eldofnon-andsemiparametriceconometrics,andmyresearchhasbenetedalotfrom
hisdeepknowledgeaboutstatistics.DuringmytimeattheChairofStatistics,Ihave
receivedallthesupportIcouldeverhaveaskedfor,andIamverygratefulforthat.
IalsowishtothankRichardBlundellforadviceonmythesisandbeyond.Ibeneted
alotfromfourveryencouragingandinsightfulmonthsinLondonthatdidnotonly
broadenmyperspectiveonmyowntopicbutoneconometricsingeneral.
IwouldalsoliketothankmycolleaguesattheChairofStatistics,inparticular
KyusangYu,MelanieSchienleandChristophNagel,forallthelivelydiscussionsabout
econometrics,statisticsandessentiallyanythingelse.Thesamegoesformyfellowgrad-
uatestudentsattheCDSE,whowereimportantcontributorstothewonderfulresearch
atmosphereIexperiencedhere.
Partsofthisthesishavebeenpresentedatconferencesandseminarsoverthepast
threeyears,andIhavereceivedanumberofhelpfulsuggestionsandcommentsfromthe
respectiveaudiencesthatleadtomajorimprovements,whichisgratefullyacknowledged.
Finally,myfamilyhasalwaysbeenaninvaluablesourceofsupport.Thankyou!

ChristophRothe

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Contents

1Introduction

2NonparametricEstimationofDistributionalPolicyEects
2.1Introduction..................................
2.2ModellingFrameworkandEstimationApproach..............
2.2.1Model.................................
2.2.2ObjectsofInterest..........................
2.2.3Identication.............................
2.2.4Estimation...............................
2.3AsymptoticProperties............................
2.3.1AssumptionsandPreliminaries...................
2.3.2MainResult..............................
2.3.3Inference................................
2.4ApplicationtoObjectsofInterest......................
2.4.1Quantiles...............................
2.4.2Inequalitymeasures..........................
2.4.3TestingforStochasticDominance..................
2.5NumericalExamples.............................
2.5.1SimulationStudy...........................
2.5.2EmpiricalIllustration:TheEectofanAnti-SmokingCampaign
onInfantBirthweights........................
2.6Conclusions..................................
Appendix......................................

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55889213151618102223242527272335363

3SemiparametricEstimationofBinaryResponseModelswithEndoge-
nousRegressors49
3.1Introduction..................................49
3.2TheModel...................................52
3.3IdenticationandEstimationApproach...................54
3.3.1Identication.............................54
3.3.2TheEstimator............................56
3.4AsymptoticProperties............................57
3.4.1AssumptionsandPreliminaries...................58
3.4.2ConsistencyandAsymptoticNormality...............61
3.4.3Varianceestimation..........................63
3.5SomeExtensionsoftheStructureoftheModel...............64
3.6SimulationStudy...............................65
3.6.1Setup.................................65
3.6.2ImplementationIssues........................67
3.6.3Results.................................68
3.7AnEmpiricalApplication:Home-ownershipandIncomeinGermany..71
3.8ConcludingRemarks.............................75
Appendix......................................76

4IdenticationofUnconditionalPartialEectsinNonseparableModels85
4.1Introduction..................................85
4.2ModelandParametersofInterest......................87
4.3Identication.................................88
4.4Conclusions..................................92

Bibliography

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Chapter1

Introduction

Withimportantadvancesmadeineconometrictheoryandtherapidlyincreasingavailabil-
ityofcomputingpowerandlargedatasets,theuseofnonparametricandsemiparametric
techniqueshasgainedconsiderableimportanceforappliedeconomicresearchoverthe
pastthreedecades.Extensiveoverviewsofrecentdevelopmentsinthisareaaregivenfor
examplebyPaganandUllah(1999)orLiandRacine(2007).
Thegeneralaimofnonparametricandsemiparametrictechniquesistoweakenthe
oftenrestrictiveassumptionsthatareimposedinordertobeabletousestandardecono-
metricmethods.Inaclassicalregressionframework,forexample,itistheaimofthe
researchertoinvestigatethefunctionalrelationshipbetweenthemeanofanoutcome
variableofinterestandanumberofexplanatoryquantities.Atypical,fullyparametric
approachtothisproblemwouldbetoassumethattherelationshipcanberepresented
throughafunctionknownuptoanitenumberofparameters,whichcanbeestimated
fromthedatabymaximumlikelihoodorthemethodofleastsquares.Suchaprocedure
willofcoursebeadequatewhenthetrueunderlyingdatageneratingprocesscanbewell
approximatedbythepostulatedfunctionalform.Itwill,however,potentiallyresultin
grosslymisleadingconclusionsundermisspeci

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