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非经典测量误差下参数估计的界限AI 解读

The bias introduced by errors in the measurement of independent variables has increasingly been a topic of interest among researchers estimating economic parameters. However, studies typically use the assumption of classical measurement error; that is, the variable of interest and its measurement error are uncorrelated, and the expected value of the mismeasured variable is equal to the expected value of the true measure. These assumptions often arise from convenience rather…

弱识别下的广义矩估计AI 解读

This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures documented in previous Monte Carlo…

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单调工具变量：教育回报的应用AI 解读

Econometric analyses of treatment response commonly use instrumental variable (IV) assumptions to identify treatment effects.Yet the credibility of IV assumptions is often a matter of considerable disagreement.There is therefore good reason to consider weaker but more credible assumptions.To this end, we introduce monotone instrumental variable (MIV) assumptions and the important special case of monotone treatment selection (MTS).We study the identifying power of MIV…

联立方程模型中工具变量估计量的解释：鱼类需求的应用AI 解读

In markets where prices are determined by the intersection of supply and demand curves, standard identification results require the presence of instruments that shift one curve but not the other. These results are typically presented in the context of linear models with fixed coefficients and additive residuals. The first contribution of this paper is an investigation of the consequences of relaxing both the linearity and the additivity assumption for the interpretation of…

不完整面板下的联立方程估计AI 解读

This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete…

《基于模拟的计量经济学方法》书评AI 解读

The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods , with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of…

内生处理效应模型的估计与解释AI 解读

This article examines the relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects. Although it is well known that the two approaches generate comparable estimates, the relationship between the estimators and their accompanying endogeneity tests appears not to be well understood. We show that the two procedures are closely related. We also examine the implications of the…

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广义矩估计中的一致矩条件选择程序AI 解读

This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables. The paper specifies moment selection criteria that are…

来源国社会项目对不同类别赴美移民的影响AI 解读

"This article uses a unique set of pooled cross-sectional and time series data to examine the annual rate of U.S. immigration during 1972-1991 from 60 source countries. One distinguishing feature of the article is that it breaks out and cross-classifies various classes of immigrants--numerically limited versus numerically exempt and new immigrant versus adjustment of status. A second distinguishing feature is that it utilizes a unique vector of variables relating to the…

来源国社会保障项目与不同类别美国移民AI 解读

This article uses a unique set of pooled cross-sectional and time series data to examine the annual rate of U.S. immigration during 1972–1991 from 60 source countries. One distinguishing feature of the article is that it breaks out and cross-classifies various classes of immigrants—numerically limited versus numerically exempt and new immigrant versus adjustment of status. A second distinguishing feature is that it utilizes a unique vector of variables relating to the…

面板数据的对称归一化工具变量估计AI 解读

The authors discuss the estimation of linear panel-data models with sequential moment restrictions using symmetrically normalized generalized method of moments (SNM) estimators and limited information maximum likelihood (LIML) analogues. These estimators are asymptotically equivalent to standard generalized method of moments (GMM) estimators but are invariant to normalization and tend to have a smaller finite-sample bias, especially when the instruments are poor. The authors…

Jackknife 工具变量估计AI 解读

Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate highly misleading results. In this paper we propose two simple alternatives to 2SLS and limited-information-maximum-likelihood (LIML) estimators for models with more instruments than endogenous regressors. These estimators can be interpreted as instrumental variables procedures using an instrument that is…

弱工具变量下LIML与刀切工具变量估计量的小样本性质AI 解读

Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find that the new estimators and LIML have a smaller bias but a larger variance than the TSLS. In terms of root mean square error, neither LIML nor the new estimators perform uniformly better than the TSLS. The main conclusion from the simulations and an empirical application on labour supply functions is…

弱工具变量回归中结构参数的推断AI 解读

The authors consider the problem of making asymptotically valid inference on structural parameters in instrumental variables regression with weak instruments. Using local-to-zero asymptotics, they derive the asymptotic distributions of likelihood ratio (LR) and Lagrange multiplier (LM) type statistics for testing simple hypotheses on structural parameters based on maximum likelihood and generalized methods of moments estimation methods. In contrast to the nonstandard…

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流动性效应的结构模型AI 解读

In this paper we examine a number of recent studies that claim to have obtained a well-defined liquidity effect using structural VAR models based on broad measures of money. These studies can be distinguished in terms of the identifying restrictions, sample periods, and frequency of data used. We show that estimation of the structural coefficients of all these models can be achieved by instrumental-variable methods, where the instruments are predetermined variables and the…

利用参军申请者的社会保障数据估计志愿兵役的劳动力市场影响AI 解读

Effects of military service on veterans' earnings are estimated using Social Security administrative records to fit models with heterogeneous potential outcomes. The first estimation strategy uses matching and regression to compare applicants who enlisted with applicants who did not enlist. The second uses instrumental variables generated by an error in military entrance exams. The empirical results suggest that military service led to higher employment rates for veterans.…

加性非参数回归中的因变量变换分析AI 解读

We consider a nonparametric regression model with a parametric family of dependent variable transformations, one of which induces additive covariate effects. We estimate the additive regression effects using the integration method and estimate the transformation parameter from a profiled instrumental variable and pseudolikelihood criterion. The asymptotic distributions of the parameter and regression estimates are given. The practical performance is investigated via an…

计数数据模型的工具变量估计：吸烟行为模型的应用AI 解读

As with most analyses involving microdata, applications of count data models must somehow account for unobserved heterogeneity. The count model literature has generally assumed that unobservables and observed covariates are statistically independent. Yet for many applications this independence assumption is clearly tenuous. When the unobservables are omitted variables correlated with included regressors, standard estimation methods will generally be inconsistent. Though…

计量经济学中的若干不可能性定理及其在结构与动态模型中的应用AI 解读

General characterizations of valid confidence sets and tests in problems involving (locally almost) unidentified (LAU) parameters are presented. In particular, any valid confidence set for an unbounded LAU parameter must be unbounded with positive probability. Consequently, almost surely bounded confidence sets, like Wald-type confidence sets, have zero coverage probability and Wald-type test statistics cannot be pivotal functions. The results are applied to simultaneous…

利用受污染自然实验数据界定因果效应：青少年生育的影响AI 解读

In this paper, we consider what can be learned about causal effects when one uses a contaminated instrumental variable. In particular, we consider what inferences can be made about the causal effect of teenage childbearing on a teen mother's subsequent outcomes when we use the natural experiment of miscarriages to form an instrumental variable for teen births. Miscarriages might not meet all of the conditions required for an instrumental variable to identify such causal…

工具变量模型中服从者结果分布的估计AI 解读

In Imbens and Ingrist (1994), Angrist, Imbens and Rubin (1996) and Imbens and Rubin (1997), assumptions have been outlined under which instrumental variables estimands can be given a causal interpretation as a local average treatment effect without requiring functional form or constant treatment effect assumptions. We extend these results by showing that under these assumptions one can estimate more from the data than the average causal effect for the subpopulation of…