2 papers
econ.EM2024
Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens
Zhan Gao, Hyungsik Roger Moon
This paper addresses the robust estimation of linear regression models in the presence of potentially endogenous outliers. Through Monte Carlo simulations, we demonstrate that exis…
econ.EM2023
Identification and Estimation of Categorical Random Coefficient Models
Zhan Gao, M. Hashem Pesaran
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are i…