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影子工资与农户家庭劳动供给：秘鲁山区的计量应用AI 解读

This paper develops a methodology for estimating structural time-allocation models for self-employed households and applies it to peasant family labour supply behaviour in the Peruvian Sierra. The opportunity costs of time, or shadow wages, of household workers are explicitly estimated from an agricultural production function. Using an instrumental variables procedure, the household's structural labour supply parameters are recovered from variation in these shadow wages. The…

共同特征检验AI 解读

This article introduces a class of statistical tests for the hypothesis that some feature that is present in each of several variables is common to them. Features are data properties such as serial correlation, trends, seasonality, heteroscedasticity, autoregressive conditional heteroscedasticity, and excess kurtosis. A feature is detected by a hypothesis test taking no feature as the null, and a common feature is detected by a test that finds linear combinations of…

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精确全信息最大似然与工具变量之间的一个特殊结果AI 解读

The iterative application of an instrumental variable method to a system of simultaneous equations may exactly produce FIML, upon convergence. Instruments achieving this target do not need to be either uncorrelated with the error terms or correlated as much as possible with the replaced explanatory variables. This curious mathematical result, which contradicts some common wisdom and intuition, is proved in our paper. Our proof also provides a unified scheme that covers the…

工具变量模型中的可识别性与设定检验AI 解读

The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.

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工具变量依赖参数时的半参数 IV 估计AI 解读

A well-known result in the method of moments literature is that the efficient instruments for the estimation of a model are functions of the conditional expectation of its gradient. Some recent studies have suggested the nonparametric estimation of these instruments when they are of unknown functional form. When these instruments in turn depend on the unknown parameters it has been suggested that these be replaced by preliminary consistent estimates. It is shown here that…

广义矩估计竞争模型的非嵌套检验AI 解读

Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with het- eroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented. THIS PAPER IS CONCERNED with providing a procedure whereby non-nested models estimated by generalized method of moments (GMM) (Hansen (1982)) may be com-…

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入学年龄对教育程度的影响：结合两样本矩的工具变量应用AI 解读

We present a model in which compulsory school attendance laws, which typically require school attendance until a specified birthday, induce a relationship between years of schooling and age at school entry. Variation in school starting age created by children's dates of birth provides a natural experiment for estimating the effect of age at school entry. Because no large data set contains information on both age at school entry and educational attainment, we use an…

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含误差分量的联立方程估计札记AI 解读

Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In…

普通最小二乘与工具变量回归中的扰动自相关结构检验AI 解读

Robert E. Cumby, John Huizinga, Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 185-195

工具变量估计量的精确小样本分布AI 解读

The purpose of this note is to point out that the bimodality is a consequence of the special case considered by N-S. The exact finite sample distribution of the IV estimator has been derived in the economic literature earlier, but its tabulation or plotting involves some assumptions about the nuisance parameters. In this note we plot the densities of the exact finite sample distribution of the IV estimator for several parameter values and show that the bimodality feature…

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利用面板数据估计与检验工会工资效应AI 解读

We present estimates of the union wage effect controlling for unmeasured individual effects, and subject the conventional fixed-effects model to specification tests. For PSID men the union wage effect is 5-8% after controlling for person effects, as opposed to 20% in cross-section. Omnibus tests based on an unrestricted reduced form and instrumental variables tests based on differencing are consistent with conventional models. Tests based on comparing those who enter and…

工具变量统计量检验嵌套与非嵌套假设的蒙特卡洛研究及有限样本性质AI 解读

Using Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of instrumental variables statistics for testing nested and nonnested hypotheses. Simple numerical-analytical formulae (response surfaces) are obtained which closely approximate the statistics' unknown size and power functions for a dynamic simultaneous-equations model. The analysis illustrates the value and limitations of asymptotic theory in…

若干计量模型的最优非线性三阶段最小二乘估计AI 解读

A method is presented for estimating nonlinear simultaneous equations and transformation models in the presence of disturbance distribution of unknown form. It asymptotically achieves the lower variance bound for instrumental variables estimates. The author avoids smoothed nonparametric estimation, his instruments averaging over the unsmoothed empirical distribution of preliminary residuals. He allows for stationary serial dependence. In various settings, estimates are…

结构方程的归一化：方向估计量的性质AI 解读

In the general structural equation model only the direction of the vector of coefficients of the endogenous variables is determined.The traditional normalization rule defines the coefficients that are of interest but should not be embodied in the estimation procedure: we show that the properties of the traditionally defined ordinary least squares and two stage least squares estimators are distorted by their dependence on the normalization rule.Symmetrically normalized…

面板数据的有效估计：工具变量估计量的经验比较AI 解读

Abstract This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time…

工具变量估计量精确小样本性质的进一步结果AI 解读

New results on the exact small sample distribution of the instrumental variable estimator are presented by studying an important special case. The exact closed forms for the probability density and cumulative distribution functions are given. There are a number of surprising findings. The small sample distribution is bimodal. with a point of zero probability mass. As the asymptotic variance grows large, the true distribution becomes concentrated around this point of zero…