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具有过度识别矩不等式条件的估计AI 解读

This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically uniformly valid tests and confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic…

动态面板数据模型中均值非平稳性的影响AI 解读

In this paper, we investigate the effect of mean-nonstationarity on the first-difference generalized method of moments (FD-GMM) estimator in dynamic panel data models. We find that when data is mean-nonstationary and the variance of individual effects is significantly larger than that of disturbances, the FD-GMM estimator performs quite well. We demonstrate that this is because the correlation between the lagged dependent variable and instruments gets larger owing to the…

工资支付违约中的互补性与惯例AI 解读

We present and estimate a model with strategic complementarities in firms' choices of on-time or delayed wage payment. Linked employer-employee panel data from Russia facilitate identification of the endogenous interactions through fixed effects for firms, workers, and local labor markets, and instrumental variables based on policy interventions. The estimated reaction function displays strongly positive neighborhood effects, and the estimated feedback loops-worker quits,…

含内生解释变量的参数分位数回归模型检验AI 解读

This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test is not subject to the ill-posed inverse problem of nonparametric instrumental variable estimation. Under mild conditions, the test is consistent against any alternative model. In…

持久数据下动态面板模型的 GMM 估计与推断AI 解读

In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991, Review of Economic Studies 58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations…

分布性及一般处理效应的半参数估计与推断AI 解读

Summary There is a large literature on methods of analysis for randomized trials with noncompliance which focuses on the effect of treatment on the average outcome. The paper considers evaluating the effect of treatment on the entire distribution and general functions of this effect. For distributional treatment effects, fully non-parametric and fully parametric approaches have been proposed. The fully non-parametric approach could be inefficient but the fully parametric…

残差可能不光滑的半参数条件矩模型的有效估计AI 解读

This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components ([theta]) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator can simultaneously achieve root-n asymptotic normality of and nonparametric optimal convergence rate of , allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap…

条件矩限制模型中的工具变量选择AI 解读

Properties of GMM estimators are sensitive to the choice of instrument. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for instrument selection in estimation of conditional moment restriction models. The models we consider include various nonlinear simultaneous equations models with unknown…

企业避税与公司价值AI 解读

Do corporate tax avoidance activities advance shareholder interests? This paper tests alternative theories of corporate tax avoidance using unexplained differences between income reported to capital markets and to tax authorities. OLS estimates indicate that the effect of tax avoidance on firm value is a function of firm governance, as predicted by an agency perspective on corporate tax avoidance. Instrumental variables estimates based on exogenous changes in tax regulations…

含恒等式结构模型估计的精确分布理论AI 解读

Some exact distribution theory is developed for structural equation models with and without identities. The theory includes LIML, IV, and OLS. We relate the new results to earlier studies in the literature, including the pioneering work of Bergstrom (1962). General IV exact distribution formulas for a structural equation model without an identity are shown to apply also to models with an identity by specializing along a certain asymptotic parameter sequence. Some of the new…

工具变量回归中条件似然比检验的精确性质AI 解读

For a simplified structural equation/IV regression model with one right-side endogenous variable, we derive the exact conditional distribution function of Moreira's (2003) conditional likelihood ratio (CLR) test statistic. This is used to obtain the critical value function needed to implement the CLR test, and reasonably comprehensive graphical versions of this function are provided for practical use. The analogous functions are also obtained for the case of testing more…

指数异方差下二元响应与连续结果的半参数模型AI 解读

Abstract This paper formulates a likelihood‐based estimator for a double‐index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density estimation under local smoothing. While the proofs differ from those based on alternative density estimators, the finite sample performance of the estimator is significantly improved. As binary responses often appear as endogenous regressors in continuous outcome equations, we also develop an…

GMM 中的弱工具变量稳健检验与新凯恩斯菲利普斯曲线AI 解读

We discuss weak instrument robust statistics in GMM for testing hypotheses on the full parameter vector or on subsets of the parameters. We use these test procedures to reexamine the evidence on the new Keynesian Phillips curve model. We find that U.S. postwar data are consistent with the view that inflation dynamics are predominantly forward-looking, but we cannot rule out the presence of considerable backward-looking dynamics. Moreover, the Phillips curve has become…

评论AI 解读

Comment on "Weak instrument robust tests in GMM and the new Keynesian Phillips curve", Frank Kleibergen, Sophocles Mavroeidis. Journal of Business and Economic Statistics. July 1, 2009, 27(3): 293-311. doi:10.1198/jbes.2009.08280.

解释变量删失导致的估计偏差AI 解读

We study the bias that arises from using censored regressors in estimation of linear models. We present results on bias in ordinary least aquares (OLS) regression estimators with exogenous censoring and in instrumental variable (IV) estimators when the censored regressor is endogenous. Bound censoring such as top-coding results in expansion bias, or effects that are too large. Independent censoring results in bias that varies with the estimation method—attenuation bias in…

工具变量回归中可容许的不变相似检验AI 解读

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949, Annals of Mathematical Statistics 20, 46–63) test. Thus, there is no conventional statistical sense in which the Anderson and Rubin…

横截面与时间维度均大时面板 AR(p) 模型的简便有效工具变量估计AI 解读

In this paper, we show that for panel AR( p ) models, an instrumental variable (IV) estimator with instruments deviated from past means has the same asymptotic distribution as the infeasible optimal IV estimator when both N and T , the dimensions of the cross section and time series, are large. If we assume that the errors are normally distributed, the asymptotic variance of the proposed IV estimator is shown to attain the lower bound when both N and T are large. A…

工具变量数量较大时的最优不变推断AI 解读

This paper studies the asymptotic behavior of a Gaussian linear instrumental variables model in which the number of instruments diverges with the sample size. Asymptotic efficiency bounds are obtained for rotation invariant inference procedures and are shown to be attainable by procedures based on the limited information maximum likelihood estimator. The bounds are obtained by characterizing the limiting experiment associated with the model induced by the rotation invariance…

通过贝叶斯数值方法估计企业特定的配置无效率AI 解读

Abstract Both the theoretical and empirical literature on the estimation of allocative and technical inefficiency has grown enormously. To minimize aggregation bias, ideally one should estimate firm and input‐specific parameters describing allocative inefficiency. However, identifying these parameters has often proven difficult. For a panel of Chilean hydroelectric power plants, we obtain a full set of such parameters using Gibbs sampling, which draws sequentially from…

追随德国：利用国际货币联系估计货币政策的经济效应AI 解读

Forward-looking behavior on the part of the monetary authority makes it difficult to estimate the effect of monetary policy interventions on output. We present instrumental variables estimates of the impact of interest rates on quarterly real output for several European countries, using German interest rates as the instrument. These estimates confirm a strong forward-looking bias in least squares estimates that persists even conditional on standard controls for the history…

同方差与异方差过度识别线性模型的改进 JIVE 估计量AI 解读

We introduce two simple new variants of the jackknife instrumental variables (JIVE) estimator for overidentified linear models and show that they are superior to the existing JIVE estimator, significantly improving on its small-sample-bias properties. We also compare our new estimators to existing Nagar (1959) type estimators. We show that, in models with heteroskedasticity, our estimators have superior properties to both the Nagar estimator and the related B2SLS estimator…

用局部工具变量估计潜在结果分布：大学入学与工资不平等应用AI 解读

This paper extends the method of local instrumental variables developed by Heckman and Vytlacil [Heckman, J., Vytlacil E., 2005. Structural equations, treatment, effects and econometric policy evaluation. Econometrica 73(3), 669-738] to the estimation of not only means, but also distributions of potential outcomes. The newly developed method is illustrated by applying it to changes in college enrollment and wage inequality using data from the National Longitudinal Survey of…

序列相关误差下协整回归有效估计量的渐近性质AI 解读

In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's [Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125] fully modified OLS estimator, Park's [Park, J.Y., 1992. Canonical cointegrating regressions. Econometrica 60, 119-143] canonical cointegrating regression estimator, and Saikkonen's [Saikkonen,…

工具变量回归中多个参数的条件似然比检验AI 解读

For the problem of testing the hypothesis that all m coefficients of the right-hand-side endogenous variables in an instrumental variables (IV) regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires knowledge of the relevant conditional cumulative distribution function (c.d.f.) of the LR statistic, but the statistic is a function of the smallest…