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Let the data speak? : on the importance of theory-based instrumental variable estimations

Grossmann, Volker; Osikominu, Aderonke - 2019

In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …

Persistent link: https://www.econbiz.de/10011972484

Identification, instruments, omitted variables, and rudimentary models : fallacies in the "experimental approach" to econometrics

Biørn, Erik - 2017

Since identification, instrumental variables and variables exclusion, core concepts in econometrics, are entwined …, several questions arise: How is identification related to the existence of IVs? How are identification criteria related to …

Persistent link: https://www.econbiz.de/10011779245

Let the data speak? : on the importance of theory-based instrumental variable estimations

Grossmann, Volker; Osikominu, Aderonke - 2019

Persistent link: https://www.econbiz.de/10011962295

Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence

Dunker, Fabian - 2015

In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead …

Persistent link: https://www.econbiz.de/10011392754

Consumer Equilibrium, Demand Effects, and Efficiency in Group Buying

Ming, Liu; Tunca, Tunay I. - 2020

.6% increase in consumer demand attributable to the employment of a group buying mechanism. Through counterfactual analysis, we …

Persistent link: https://www.econbiz.de/10014032962

A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs

Lee, Seojeong - 2015

Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). If a regression model is estimated by the two-stage least squares (2SLS) using multiple instruments, then 2SLS is consistent for a weighted average of different LATEs. In...

Persistent link: https://www.econbiz.de/10013030149

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced …

Persistent link: https://www.econbiz.de/10012202234

Inference with arbitrary clustering

Colella, Fabrizio; Lalive, Rafael; Sakalli, Seyhun Orcan; … - 2019

Analyses of spatial or network data are now very common. Nevertheless, statistical inference is challenging since unobserved heterogeneity can be correlated across neighboring observational units. We develop an estimator for the variance-covariance matrix (VCV) of OLS and 2SLS that allows for...

Persistent link: https://www.econbiz.de/10012102134

Instrumental Variables Estimation of Large Demand Systems with an Application to Fruit and Vegetable Demand and Price Index

Wang, Shaonan; Zhen, Chen; Ferrier, Peyton - 2023

The increasing availability of retail scanner data makes it possible to study consumer demand at more disaggregated …SLS) estimator and applies it to estimate a quadratic almost ideal demand (QUAID) system with 47 fruits and vegetables … with endogenous prices. Even for a large demand system, the I3SLS is shown to be computationally simple. Then we calculate …

Persistent link: https://www.econbiz.de/10014351378

Sparse demand systems : corners and complements

Lewbel, Arthur; Nesheim, Lars - 2019

We propose a demand model where consumers simultaneously choose a few different goodsfrom a large menu of available … goods, and choose how much to consume of each good. Themodel nests multinomial discrete choice and continuous demand systems … purchasing different numbers of typesof goods. We show semiparametric identification of the model. We apply the model to …

Persistent link: https://www.econbiz.de/10012101423