arXiv 12 Nov 2020 · Econometrics · publishedEconometrica (2025) · 2 citations (OpenAlex)
arXiv:2011.06416 · PDF · DOI · OpenAlex · Extracted main text
We propose flexible Gaussian representations for conditional cumulative distribution functions and give a concave likelihood criterion for their estimation. Optimal representations satisfy the monotonicity property of conditional cumulative distribution functions, including in finite samples and under general misspecification. We use these representations to provide a unified framework for the flexible Maximum Likelihood estimation of conditional density, cumulative distribution, and quantile functions at parametric rate. Our formulation yields substantial simplifications and finite sample improvements over related methods. An empirical application to the gender wage gap in the United States illustrates our framework.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Spady, R. H., and S. Stouli (2018) Dual Regression self | 1.000 | 5 | 3 | 100% |
| 2 | Boyd, S. P., and L. Vandenberghe (2004) Convex Optimization | 0.843 | 5 | 5 | 60% |
| 3 | Ramsay, J. O (1988) Monotone Regression Splines in Action | 0.843 | 3 | 3 | 100% |
| 4 | Chernozhukov, V., I. Fernández-Val, and A. Galichon (2010) Quantile and Probability Curves Without Crossing | 0.737 | 3 | 2 | 100% |
| 5 | Chernozhukov, V., I. Fernández-Val, and B. Melly (2013) Inference on Counterfactual Distributions | 0.737 | 3 | 2 | 100% |
| 6 | Matzkin, R (2003) Nonparametric Estimation of Nonadditive Random Functions | 0.714 | 11 | 4 | 36% |
| 7 | Newey, W. K., and D. McFadden (1994) Large Sample Estimation and Hypothesis Testing | 0.675 | 13 | 4 | 31% |
| 8 | Akaike, H (1973) Information Theory and an Extension of the Maximum Likelihood Principle | 0.644 | 2 | 2 | 100% |
| 9 | Curry, H. B., and I. J. Schoenberg (1966) On Polya Frequency Functions IV: The Fundamental Spline Functions and Their Limits | 0.644 | 2 | 2 | 100% |
| 10 | Glad, I. K., N. L. Hjort, and N. G. Ushakov (2003) Correction of Density Estimators That Are Not Densities | 0.644 | 2 | 2 | 100% |
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