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存在不依从且结局为二元变量的随机试验中治疗效应的估计AI 解读

Summary We propose a class of estimators of the treatment effect on a dichotomous outcome among the treated subjects within covariate and treatment arm strata in randomized trials with non-compliance. Recent papers by Vansteelandt and Goetghebeur, and Robins and Rotnitzky have presented consistent and asymptotically linear estimators of a causal odds ratio, which rely, beyond correct specification of a model for the causal odds ratio, on a correctly specified model for a…

残疾与就业AI 解读

Measurement error in health and disability status has been widely accepted as a central problem in social science research. Long-standing debates about the prevalence of disability, the role of health in labor market outcomes, and the influence of federal disability policy on declining employment rates have all emphasized issues regarding the reliability of self-reported disability. In addition to random error, inaccuracy in survey datasets may be produced by a host of…

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决策理论在工具变量模型中的应用AI 解读

This paper applies some general concepts in decision theory to a simple instrumental variables model. There are two endogenous variables linked by a single structural equation; k of the exogenous variables are excluded from this structural equation and provide the instrumental variables (IV). The reduced-form distribution of the endogenous variables conditional on the exogenous variables corresponds to independent draws from a bivariate normal distribution with linear…

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滞后解释变量冗余性的再考察AI 解读

In a recent Econometric Theory problem, it was demonstrated that in a conditionally heteroskedastic time series regression with martingale difference errors the use of lagged values of regressors as instruments may not increase the efficiency of estimation relative to ordinary least squares. We provide an example of an analogous phenomenon in a model with serially correlated errors, where the optimal instrumental variables estimator is asymptotically as efficient as the…

半参数截断回归模型的加权与两阶段最小二乘估计AI 解读

This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based two-stage least squares estimator for this model, which can be used when some regressors are endogenous, mismeasured, or otherwise correlated with the errors. A simulation study…

弱工具变量下 IV 估计量的有限样本证据AI 解读

Abstract We present finite sample evidence on different IV estimators available for linear models under weak instruments; explore the application of the bootstrap as a bias reduction technique to attenuate their finite sample bias; and employ three empirical applications to illustrate and provide insights into the relative performance of the estimators in practice. Our evidence indicates that the random‐effects quasi‐maximum likelihood estimator outperforms alternative…

高出生率会阻碍经济增长吗？AI 解读

This paper examines the impact of the birth rate on economic growth by using a panel data set of 28 provinces in China over twenty years. Because China's one-child policy applied only to the Han Chinese but not to minorities, this unique affirmative policy allows us to use the proportion of minorities in a province as an instrumental variable to identify the causal effect of the birth rate on economic growth. We find that the birth rate has a negative impact on economic…

抗击疟疾：等待“神奇”疫苗时应预防战争AI 解读

The World Health Organization estimates that 300 million clinical cases of malaria occur annually and observed that during the 80s and part of the 90s its incidence increased. In this paper, we explore the influence of refugees from civil wars on the incidence of malaria in the refugee-receiving countries. Using civil wars as an instrumental variable, we show that for each 1,000 refugees there are between 2,000 and 2,700 cases of malaria in the refugee-receiving country. On…

非线性测量误差模型的工具变量估计AI 解读

This paper establishes that instruments enable the identification of nonparametric regression models in the presence of measurement error by providing a closed form solution for the regression function in terms of Fourier transforms of conditional expectations of observable variables. For parametrically specified regression functions, we propose a root n consistent and asymptotically normal estimator that takes the familiar form of a generalized method of moments estimator…

半参数测量误差模型的局部有效估计量AI 解读

We derive constructive locally efficient estimators in semiparametric measurement error models. The setting is one in which the likelihood function depends on variables measured with and without error, where the variables measured without error can be modeled nonparametrically. The algorithm is based on backfitting. We show that if one adopts a parametric model for the latent variable measured with error and if this model is correct, then the estimator is semiparametric…

利用工具变量进行因果推断的回归与加权方法AI 解读

Please see the supplementary material for a correction and a new result.Recent researches in econometrics and statistics have gained considerable insights into the use of instrumental variables (IVs) for causal inference. A basic idea is that IVs serve as an experimental handle, the turning of which may change each individual's treatment status and, through and only through this effect, also change observed outcome. The average difference in observed outcome relative to that…

用系统估计重新推导 Mundlak 的固定效应结果AI 解读

Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be…

美国各地的增长与趋同：县级数据证据AI 解读

We use U.S. county data (3,058 observations) and 41 conditioning variables to study growth and convergence. Using ordinary least squares (OLS) and three-stage least squares with instrumental variables (3SLS-IV), we report on the full sample and metro, nonmetro, and and regional samples: (1) OLS yields convergence rates around 2%; 3SLS yields 6%-8%; (2) convergence rates vary (for example, the Southern rate is 2.5 times the Northeastern rate); (3) federal, state, and local…

结构方程估计中双峰性与弱工具变量的一点说明AI 解读

In a simple model composed of a structural equation and identity, the finite-sample distribution of the instrumental variable/limited information maximum likelihood (IV/LIML) estimator is always bimodal, and this is most apparent when the concentration parameter is small. Weak instrumentation is the energy that feeds the secondary mode, and the coefficient in the structural identity provides a point of compression in the density that gives rise to it. The IV limit…

两阶段最小二乘估计量精确分布的双峰性AI 解读

We investigate the possible bimodality of the density of the two-stage least squares (TSLS) estimator in a just-identified/overidentified linear structural equation. By studying the interaction between weakness of instruments, degree of endogeneity, and degree of overidentification we are able to identify conditions for its existence.I thank Grant Hillier, Patrick Marsh, Don Poskitt, the editor Peter Phillips, and two anonymous referees for useful and encouraging comments.

工具变量估计量精确性质的进一步研究AI 解读

We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation/instrumental variables regression under Gaussian assumptions. Simple derivations based on conditioning serve both to demystify the apparently complicated formulas, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by…

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反对使用 JIVE 的论证AI 解读

Abstract We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the ‘jackknife instrumental variables estimator’, or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always more dispersed than 2SLS, often very much so, and it is almost always inferior to LIML in all respects. Interestingly, JIVE seems to perform particularly badly when the…

理解本质异质性模型中的工具变量AI 解读

This paper examines the properties of instrumental variables (IV) applied to models with essential heterogeneity, that is, models where responses to interventions are heterogeneous and agents adopt treatments (participate in programs) with at least partial knowledge of their idiosyncratic response. We analyze two-outcome and multiple-outcome models, including ordered and unordered choice models. We allow for transition-specific and general instruments. We generalize previous…

平稳与非平稳协整回归的工具变量估计AI 解读

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least-squares estimation of cointegrating regressions between non-stationary and/or long memory stationary variables where the integration orders of regressor and disturbance sum to less than 1, as happens always for stationary regressors, and sometimes for mean-reverting non-stationary ones. Unlike in the classical…