Worst-case estimation and asymptotic theory for models with unobservables

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Worst-case estimation and asymptotic theory for models with unobservables

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Jose M. Vidal-Sanz
Mercedes Esteban-Bravo

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Abstract

This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the averse effects of unobservables and, unlike the classical literature, there are no assumptions made about the statistical nature of the unobservables. This method should be seen as complementing standard methods; cautious modelers should compare different estimates to determine robust models. Limiting theory is obtained, and a Monte Carlo study of finite-sample properties is conducted. An economic application is included

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 385.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:385

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Paper
- Mercedes Esteban-Bravo & Jose M. Vidal-Sanz, 2004. "Worst-Case Estimation And Asymptotic Theory For Models With Unobservables," Business Economics Working Papers wb045518, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-11-19 (All new papers)
NEP-ECM-2005-11-19 (Econometrics)

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Chamberlain, Gary & Griliches, Zvi, 1975. "Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(2), pages 422-49, June. [Downloadable!] (restricted)
Aigner, Dennis J. & Hsiao, Cheng & Kapteyn, Arie & Wansbeek, Tom, 1984. "Latent variable models in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 23, pages 1321-1393 Elsevier. [Downloadable!] (restricted)

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