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Many previous studies have found a strong positive effect of job seniority (tenure) on wages. This paper re-examines the evidence using a simple instrumental variables scheme to deal with the fact that tenure is likely to be related to unobserved individual and job characteristics that affect the wage. We use the variation of tenure over a given job match as the principal instrumental variable for tenure. The variation in tenure over the job is uncorrelated by construction…

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关于 Magdalinos 的 k 类工具变量估计量的一点说明AI 解读

In this paper we identify a restriction on the finite-sample application of Magdalinos's asymptotic expansions for the t statistic based on the k -class instrumental variable estimator.

联立方程模型的两阶段有界影响估计量AI 解读

This article presents a class of estimators for linear structural models that are robust to heavytailed disturbance distributions, gross errors in either the endogenous or exogenous variables, and certain other model failures. The class of estimators modifies ordinary two-stage least squares by replacing each least squares regression by a bounded-influence regression. Conditions under which the estimators are qualitatively robust, consistent, and asymptotically normal are…

A stractThe theory of wage indexation implies that if workers are more risk averse than firms, then workers will pay a price in order to obtain wage indexation. This prediction is tested on a sample of 3,115 U.S. manufacturing collective bargaining negotiations from 1967 to 1982. The dependent variable is the expected real wage level taking into account expected cost of living payments (Colas). Using instrumental variables or fixed effects techniques to account for the…

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误差成分模型的工具变量估计AI 解读

On propose des estimateurs efficaces en considerant des hypotheses alternatives sur les sources d'endogeneite et les proprietes de variance-covariance des perturbations

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非正态误差与 OLS、2SLS 结构方程估计量的分布AI 解读

This paper examines the sensitivity of the distributions of OLS and 2SLS estimators to the assumption of normality of disturbances in a structural equation with two included endogenous variables. The approach taken is that ofimposing Edgeworth distributed errors on the reduced form equations and deriving the pdf of the estimators via the technique of Davis [11]. The sensitivity of the pdf s to changes in the non-normality parameters, i.e., skewness and kurtosis i s examined…

联立方程系统中单方程估计量的比较AI 解读

Comparisons of estimators are made on the basis of their mean squared errors and their concentrations of probability computed by means of asymptotic expansions of their distributions when the disturbance variance tends to zero and alternatively when the sample size increases indefinitely. The estimators include k -class estimators (limited information maximum likelihood, two-stage least squares, and ordinary least squares) and linear combinations of them as well as…

变量含误差模型中测量误差信息的组合AI 解读

For the regression model in which an explanatory variable contains measurement error, the instrumental variable and the correction for attenuation estimators of slope are considered. Although each requires extra information that is rarely available in ideal form, examinations of asymptotic variances and simulation results suggest that the correction for attenuation performs as well as a fairly strong instrumental variable when the measurement errors are not too large, and…

变量测量误差模型中测量误差信息的结合AI 解读

For the regression model in which an explanatory variable contains measurement error, the instrumental variable and the correction for attenuation estimators of slope are considered. Although each requires extra information that is rarely available in ideal form, examinations of asymptotic variances and simulation results suggest that the correction for attenuation performs as well as a fairly strong instrumental variable when the measurement errors are not too large, and…

具有ARMA误差的动态联立系统的工具变量估计AI 解读

This paper develops the instrumental variables estimator for a possibly incomplete, dynamic economic system with vector autoregressive moving average disturbances. Its asymptotic distribution is derived and, under fairly weak conditions, it is shown that lagged endogenous variables may be validly included in the set of instruments. Statistics are proposed for testing the order of the error process and the validity of the instruments.

使用加权工具变量的联立方程模型稳健估计AI 解读

IN THIS PAPER we present a weighted-instrumental-variables estimator that is resistant2 to heavy-tailed errors, aberrant data in either the endogenous or exogenous variables, and certain other model failures. The estimator is analogous to the weighted-least-squares approach to robustness proposed by Krasker and Welsch [21] for ordinary regression. We will discuss the theory that motivated this estimator, derive some of its properties, describe our computational algorithm,…

非线性预算集的计量经济学AI 解读

This article surveys the development of nonparametric models and methods for estimation of choice models with nonlinear budget sets.The discussion focuses on the budget set regression, that is, the conditional expectation of a choice variable given the budget set.Utility maximization in a nonparametric model with general heterogeneity reduces the curse of dimensionality in this regression.Empirical results using this regression are different from maximum likelihood and give…

若干工具变量检验程序的改进AI 解读

This paper is concerned with Cornish–Fisher corrections of some instrumental variables test statistics. The tests based on the corrected statistics have size with error of a smaller order of magnitude than the original tests. Symmetric Edgeworth-corrected confidence regions are also defined for the structural parameters. All these corrections are given as analytic formulas that require only limited information, so their implementation is a relatively easy task.

选择最佳工具变量估计量AI 解读

This paper considers the problem of finding the "best" estimator among a class that includes most of the commonly used limited information estimators in simultaneous equation systems. Concentration comparisons, based on the Edgeworth expansion of the distribution of these estimators, lead to selection rules of sufficient simplicity to be useful in applied econometric research.

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一般结构方程中工具变量估计量的联合与边际密度AI 解读

Starting from the conditional density of the instrumental variable (IV) estimator given the right-hand-side endogenous variables, we provide an alternative derivation of Phillips' result on the joint density of the IV estimator for the endogenous coefficients, and derive an expression for the marginal density of a linear combination of these coefficients. In addition, we extend Phillips' approximation to the joint density to 0( T −2 ,) and show how this result can be used to…

基于消费的跨期资本资产定价模型：商品期货价格检验AI 解读

ABSTRACT In this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data. The model itself is rejected and we offer some suggestions as to which assumption may be violated. We also give an interpretation to the…

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Whenever marginal prices are nonconstant, as in most hedonic and household production function markets, ordinary least squares estimates of the price elasticities of structural equations will be biased. A two-stage least squares estimation procedure is developed and applied to estimate hedonic (and potentially household production function) demand functions when price gradients are nonlinear.