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修正工具变量单位根检验的功效AI 解读

In this paper we investigate the power of Hall's (1989) instrumental variables tests for unit roots. A slight modification is made to Hall's t statistic so that the modified t statistic can be applied directly without encountering the possible negative standard error problem of Hall's original t statistic. The major finding is that the power curves of the instrumental variables tests are not monotonic functions of the autoregressive coefficient of the unit root models when…

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重新审视误差分量模型的工具变量估计AI 解读

This article develops a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables. Our formulation clarifies the relationship between the existing estimators and the role of transformation in panel data models. We characterise the valid transformations for relevant models and show the optimal estimators are invariant to the transformation used to remove individual effects. We present an alternative…

二元回归测量误差模型中的工具变量估计AI 解读

We describe two approaches to instrumental variable estimation in binary regression measurement error models. The methods entail constructing approximate mean models for the binary response as a function of the measured predictor, the instrument, and any covariates in the model. Estimates are obtained by exploiting relationships between regression parameters, just as in linear instrumental variable estimation. In the course of deriving the approximate mean models, we obtain…

可变处理强度模型中平均因果效应的两阶段最小二乘估计AI 解读

Two-stage least squares (TSLS) is widely used in econometrics to estimate parameters in systems of linear simultaneous equations and to solve problems of omitted-variables bias in single-equation estimation. We show here that TSLS can also be used to estimate the average causal effect of variable treatments such as drug dosage, hours of exam preparation, cigarette smoking, and years of schooling. The average causal effect in which we are interested is a conditional…

工具变量与内生解释变量弱相关时的估计问题AI 解读

We draw attention to two problems associated with the use of instrumental variables (IV), the importance of which for empirical work has not been fully appreciated. First, the use of instruments that explain little of the variation in the endogenous explanatory variables can lead to large inconsistencies in the IV estimates even if only a weak relationship exists between the instruments and the error in the structural equation. Second, in finite samples, IV estimates are…

圆形数据的统计分析AI 解读

Preface 1. The purpose of the book 2. Survey of contents 3. How to use the book 4. Notation, terminology and conventions 5. Acknowledgements Part I. Introduction: Part II. Descriptive Methods: 2.1. Introduction 2.2. Data display 2.3. Simple summary quantities 2.4. Modifications for axial data Part III. Models: 3.1. Introduction 3.2. Notation trigonometric moments 3.3. Probability distributions on the circle Part IV. Analysis of a Single Sample of Data: 4.1. Introduction 4.2.…

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误设单方程中的工具变量估计AI 解读

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have implications for the structure of the exact results obtained. A brief numerical examination of the analytical results is also provided.

单方程中外生变量系数估计量的若干精确结果AI 解读

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator and the joint distribution of these elements are considered. Estimable bounds for the first moment that can readily be incorporated into any IV estimation package are provided. The…

教育回报的分样本工具变量估计AI 解读

Two-stage least squares is biased in the same direction as ordinary least squares even in very large samples. The authors propose a split-sample instrumental variables estimator that is not biased toward ordinary least squares. Split-sample instrumental variables uses one-half of a sample to estimate parameters of the first-stage equation. Estimated first-stage parameters are then used to construct fitted values and second-stage parameter estimates in the other half sample.…

姐妹、同胞与母亲：动态家庭背景下青少年生育对出生结局的影响AI 解读

A statistical model of dynamic intrafamily investment behavior incorporating endowment heterogeneity is estimated to evaluate alternative estimation procedures that have exploited family and kinship data. These procedures, which place alternative restrictions on the endowment structure and on behavior, include generalized least squares, fixed-effects based on the children of sisters and siblings, and instrumental variables. The framework is applied to data on birth outcomes,…

修正工具变量单位根检验的功效AI 解读

In this paper we investigate the power of Hall's (1989) instrumental variables tests for unit roots. A slight modification is made to Hall's t statistic so that the modified t statistic can be applied directly without encountering the possible negative standard error problem of Hall's original t statistic. The major finding is that the power curves of the instrumental variables tests are not monotonic functions of the autoregressive coefficient of the unit root models when…

通过变量增广检验工具变量估计动态模型中的序列相关AI 解读

Instrumental variable tests for serial correlation can be carried out by adding lagged residuals from initial estimation to the regressors of the model under scrutiny and then checking their joint significance. It is shown that asymptotically valid tests are obtained if the lagged residuals are also added to the initial instrument set. Monte Carlo evidence suggests that useful improvements in finite sample behavior under null and alternative hypotheses can be produced when…

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工具变量估计量分布的替代近似AI 解读

This paper considers the instrument variable and method-of-moments estimators, as generalizations of two-stage least squares and limited information maximum likelihood, of the coefficients of a single equation. Motivated by a simple principle, asymptotic distributions are derived based on a parameter sequence where both the number of instruments and the sample size increase. The approximations to the distributions provided by this sequence are more accurate than traditional…

工具变量可采纳性检验：若干精细渐近结果AI 解读

This paper is concerned with the refined asymptotic properties of several tests for the admissibility of a subset of (overidentifying) instrumental variables. It derives maximum likelihood and linearized maximum likelihood tests and calculates size corrections to the order 1/T. The local power function of the size-corrected tests is the same to the order 1/T, irrespectively of the form of the test statistic or the limited information estimator used in its computation.…

局部平均处理效应的识别与估计AI 解读

We investigate conditions sufficient for identification of average treatment effects using instrumental variables. First we show that the existence of valid instruments is not sufficient to identify any meaningful average treatment effect. We then establish that the combination of an instrument and a condition on the relation between the instrument and the participation status is sufficient for identification of a local average treatment effect for those who can be induced…

解释变量与双向误差分量相关时的面板模型估计AI 解读

In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent…

回归泛函的级数估计AI 解读

Two-step estimators, where the first step is the predicted value from a nonparametric regression, are useful in many contexts. Examples include a non-parametric residual variance, probit with nonparametric generated regressors, efficient GMM estimation with randomly missing data, heteroskedasticity corrected least squares, semiparametric regression, and efficient nonlinear instrumental variables estimators. The purpose of this paper is the development of consistency and…

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工具变量估计下细分模型与加总模型的选择AI 解读

A choice criterion is proposed for discriminating between disaggregate and aggregate models estimated by the instrumental variables method. The criterion, based on prediction errors, represents a generalization of criteria developed in the context of classical regressions models. The paper also derives general tests for aggregation bias in the instrumental variables context. The criterion and tests are applied in an analysis of U.K. employment demand. It is shown that a…