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We propose two simple bias reduction procedures that apply to estimators in a general static simultaneous equation model and which are valid under reatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous...
Persistent link: https://www.econbiz.de/10009260061
Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable...
Persistent link: https://www.econbiz.de/10003908559
This paper presents a new approach to estimation and inference in panel data models with unobserved common factors possibly correlated with exogenously given individual-specific regressors and/or the observed common effects. The basic idea behind the proposed estimation procedure is to filter...
Persistent link: https://www.econbiz.de/10011505911
Family Expenditure Survey. We document strong heterogeneity in the estimated Engel curves along the conditional distribution …
Persistent link: https://www.econbiz.de/10012504016
A large and highly used number of treatment effects estimators rely on the unconfoundedness assumption ("selection on observables") which is fundamentally non testable. When evaluating the effects of labor market policies, researchers need to observe both variables that affect treatment...
Persistent link: https://www.econbiz.de/10010487253
factors have been included to account for potentially correlated heterogeneity in the bilateral dimension that is … unobserved heterogeneity in all three dimensions results in appreciably lower magnitudes of all coefficients (except the one on …
Persistent link: https://www.econbiz.de/10012608069
exclusion restrictions. We extend the analysis in Honor'e and Hu (2020) by allowing for parameter heterogeneity and derive …
Persistent link: https://www.econbiz.de/10013332258
types of unobservables: known heterogeneity, initially unknown heterogeneity that may be revealed over time, and transitory … standard assumption that unknown heterogeneity and uncertainty are normally distributed. We also show that, absent known … heterogeneity, the model is identified without making any distributional assumption. We then derive the asymptotic properties of a …
Persistent link: https://www.econbiz.de/10015417780
Testing for the money illusion hypothesis in aggregate consumption function generally involves a regression model that projects real consumption onto nominal disposable income and a consumer price index. Price data are usually available at a monthly level, but consumption and income data are...
Persistent link: https://www.econbiz.de/10013013202
This paper describes a modelling methodology for multivariate stochastic processes. The concept of multiple causality is discussed and a procedure to detect multiple causality is suggested. The data of a major Canadian supermarket is analyzed and a multivariate autoregressive model for this...
Persistent link: https://www.econbiz.de/10012751654