3 papers
econ.EM2024
Efficient two-sample instrumental variable estimators with change points and near-weak identification
Bertille Antoine, Otilia Boldea, Niccolo Zaccaria
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…
stat.ML2024
When does Subagging Work?
Christos Revelas, Otilia Boldea, Bas J. M. Werker
We study the effectiveness of subagging, or subsample aggregating, on regression trees, a popular non-parametric method in machine learning. First, we give sufficient conditions fo…
econ.EM2022
Testing for a Threshold in Models with Endogenous Regressors
Mario P. Rothfelder, Otilia Boldea
We show by simulation that the test for an unknown threshold in models with endogenous regressors - proposed in Caner and Hansen (2004) - can exhibit severe size distortions both i…