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含内生回归变量的非可分模型：横截面与面板数据估计AI 解读

We propose two new methods for estimating models with nonseparable errors and endogenous regressors. The first method estimates a local average response. One estimates the response of the conditional mean of the dependent variable to a change in the explanatory variable while conditioning on an external variable and then undoes the conditioning. The second method estimates the nonseparable function and the joint distribution of the observable and unobservable explanatory…

In this paper we measure the effect of Catholic high school attendance on educational attainment and test scores. Because we do not have a good instrumental variable for Catholic school attendance, we develop new estimation methods based on the idea that the amount of selection on the observed explanatory variables in a model provides a guide to the amount of selection on the unobservables. We also propose an informal way to assess selectivity bias based on measuring the…

协方差结构 GMM 估计的小样本偏差AI 解读

The authors examine the small sample properties of the generalized method of moments estimator applied to models of covariance structures, where it is commonly known as the optimal minimum distance (OMD) estimator. They find that OMD is almost always biased downward in absolute value. The bias arises because sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD is usually dominated by equally weighted…