Testing econometric models with heterogeneous agents : applications in treatment analysis and networks

Dzemski, Andreas

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URL: https://madoc.bib.uni-mannheim.de/39090
URN: urn:nbn:de:bsz:180-madoc-390909
Document Type: Doctoral dissertation
Year of publication: 2015
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Frölich, Markus
Date of oral examination: 7 July 2015
Publication language: English
Institution: School of Law and Economics > VWL, Ökonometrie (Frölich 2008-)
School of Law and Economics > Statistik (Mammen)
Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
Subject: 330 Economics
Classification: JEL: C21, C23, C26, C31, C33,
Subject headings (SWD): Nichtparametrische Statistik , U-Statistik , Soziales Netzwerk
Keywords (English): econometric model testing , heterogeneous agents , treatment evaluation , networks , generated regressors , incidental parameter bias
Abstract: This thesis tackles two testing problems from the fields of treatment evaluation and social network analysis. In both cases, the presence of a flexible unobserved component invalidates popular testing procedures that have been developed for versions of the respective model that do not allow for unobserved heterogeneity or that make very restrictive assumptions about the nature of the unobserved heterogeneity. I suggest valid testing procedures and illustrate their empirical bite by applying them to real data. Moreover, I analyze a general framework for testing for index sufficiency when the hypothesized index is unknown but estimable.

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