Bertille Antoine
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View article: Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis
Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis Open
The existing asymptotic theory for estimators obtained by simulated minimum distance does not cover situations in which the number of components of the auxiliary statistics (or number of matched "moments") is large — typically larger than …
View article: Efficient two-sample instrumental variable estimators with change points and near-weak identification
Efficient two-sample instrumental variable estimators with change points and near-weak identification Open
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient two-sa…
View article: Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics
Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics Open
In a conditional moment model, we develop a new integrated conditional moment (ICM) estimator which directly exploits factor-based conditional moment restrictions without having to first parametrize, or estimate such restrictions. We focus…
View article: Identification-robust inference with simulation-based pseudo-matching*
Identification-robust inference with simulation-based pseudo-matching* Open
We develop a general simulation-based inference procedure for partially specified models. Our procedure is based on matching auxiliary statistics to simulated counterparts where nuisance parameters are calibrated neither assuming identific…