日期精度：到日 1 篇 · 到月 2 篇 · 到年 2 篇
结构研究中的透明性
We propose a formal definition of transparency in empirical research and apply it to structural estimation in economics. We discuss how some existing practices can be understood as attempts to improve transparency, and we suggest ways to improve current practice, emphasizing approaches that impose a minimal computational burden on the researcher. We illustrate with examples.
描述性统计对结构估计的信息含量
We propose a way to formalize the relationship between descriptive analysis and structural estimation. A researcher reports an estimate ĉ of a structural quantity of interest c that is exactly or asymptotically unbiased under some base model. The researcher also reports descriptive statistics γ ˆ that estimate features γ of the distribution of the data that are related to c under the base model. A reader entertains a less restrictive model that is local to the base model,…
工具变量估计目标的结构
When the overidentifying restrictions of the constant-effect linear instrumental variables model fail, common IV estimators converge to different probability limits. I characterize the estimands of two stage least squares, two step GMM, and limited information maximum likelihood as functions of the single-instrument estimands from the just-identified IV regressions which consider each instrument separately. The limited information maximum likelihood estimand is found to be…
已知第一阶段符号时的无偏工具变量估计
We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on the reduced-form and first-stage regression estimates. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is…