Alexander Mayer, Michael Massmann
arXiv 16 Sep 2023 · Econometrics · publishedJournal of Business and Economic Statistics (2025)
arXiv:2309.08982 · PDF · DOI · OpenAlex · Extracted main text
We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator used in empirical practice. Potential pitfalls for hypothesis testing are identified and solutions proposed. Monte Carlo simulations verify the properties of the estimator and corresponding test statistics in finite samples, while an application to a panel of survey expectations demonstrates the usefulness of the theory developed.
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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 | Hansen, B. E (1996) a): Inference when a nuisance parameter is not identified under the null hypothesis | 1.000 | 5 | 3 | 100% |
| 2 | Gwak, B (2022) State-dependent formation of inflation expectations | 0.920 | 9 | 4 | 78% |
| 3 | Malmendier, U. and S. Nagel (2016) Learning from inflation experiences | 0.909 | 12 | 5 | 75% |
| 4 | Newey, W. K. and D. McFadden (1994) Large sample estimation and hypothesis testing, in | 0.909 | 8 | 4 | 75% |
| 5 | Madeira, C. and B. Zafar (2015) Heterogeneous inflation expectations and learning | 0.909 | 8 | 3 | 75% |
| 6 | Nagel, S (2024) Leaning against inflation experiences | 0.874 | 6 | 4 | 67% |
| 7 | Hansen, B. E (2017) Regression kink with an unknown threshold | 0.843 | 5 | 4 | 60% |
| 8 | Christopeit, N. and M. Massmann (2018) Estimating structural parameters in regression models with adaptive learning | 0.737 | 3 | 2 | 100% |
| 9 | Mayer, A (2022) Estimation and inference in adaptive learning models with slowly decreasing gains self | 0.737 | 3 | 2 | 100% |
| 10 | Acedański, J (2017) Heterogeneous expectations and the distribution of wealth | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 90 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Estimation and inference in models with multiple behavioural equilibria | 1.000 | 5 | 3 |