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Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
Lee, Yoonseok; Caner, Mehmet; Han, Xu - Center for Policy Research, Maxwell School - 2015
This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid … sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic … conditions to estimate the selected structural parameters and thus achieves the standard GMM efficiency bound as if we know the …
Persistent link: https://www.econbiz.de/10011269089
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The Interaction of Metropolitan Area Costs and the Federal Earned Income Tax Credit: One Size Fits All?
Fitzpatrick, Katie; Thompson, Jeffrey P. - Center for Policy Research, Maxwell School - 2008
The Federal Earned Income Tax Credoit (EITC) contributed to increasing employment rates for single women during the 1990s. This paper expands on what is known about the labor supply response to the EITC by exploiting differences in the cost-of-living faced by potentially eligible recipients in...
Persistent link: https://www.econbiz.de/10005698341
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Testing for Breaks in Cointegrated Panels
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Center for Policy Research, Maxwell School - 2012
We investigate the issue of testing for structural breaks in large cointegrated panels with common and idiosyncratic regressors. We prove a panel Functional Central Limit Theorem. We show that the estimated coefficients of the common regressors have a mixed normal distribution, whilst the...
Persistent link: https://www.econbiz.de/10010598809
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Testing the Fixed Effects Restrictions? A Monte Carlo Study of Chamberlain's Minimum Chi-Squared Test
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Center for Policy Research, Maxwell School - 2009
Chamberlain (1982) showed that the fixed effects (FE) specification imposes testable restrictions on the coefficients from regressions of all leads and lags of dependent variableson all leads and lags of independent variables. Angrist and Newey (1991) suggested computing this test statistic as...
Persistent link: https://www.econbiz.de/10005808255
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Firm-Level Productivity Spillovers in China's Chemical Industry: A Spatial Hausman-Taylor Approach
Baltagi, Badi H.; Egger, Peter H. - Center for Policy Research, Maxwell School - 2014
This paper assesses the role of intra-sectoral spillovers in total factor productivity across Chinese producers in the chemical industry. We use a rich panel data-set of 12,552 firms observed over the period 2004-2006 and model output by the firm as a function of skilled and unskilled labor,...
Persistent link: https://www.econbiz.de/10011240631
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Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Center for Policy Research, Maxwell School - 2011
units have a break. Our framework is extended to the case of cross correlated regressors and endogeneity. Monte Carlo …
Persistent link: https://www.econbiz.de/10008922715
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Model Selection in the Presence of Incidental Parameters
Lee, Yoonseok; Phillips, Peter C.B. - Center for Policy Research, Maxwell School - 2013
This paper considers model selection in nonlinear panel data models where incidental parameters or large-dimensional nuisance parameters are present. Primary interest typically centers on selecting a model that best approximates the underlying structure involving parameters that are common...
Persistent link: https://www.econbiz.de/10010701001
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Wrong Skewness and Finite Sample Correction in Parametric Stochastic Frontier Models
Feng, Qu; Horrace, William; Wu, Guiying Laura - Center for Policy Research, Maxwell School - 2013
In parametric stochastic frontier models, the composed error is specified as the sum of a two-sided noise component and a one-sided inefficiency component, which is usually assumed half-normal, implying that the error distribution is skewed in one direction. In practice, however, estimation...
Persistent link: https://www.econbiz.de/10010751569
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A Dynamic Spatial Panel Data Approach to the German Wave Curve
Baltagi, Badi H.; Blien, Uwe; Wolf, Katja - Center for Policy Research, Maxwell School - 2010
sensitivity of this wage elasticity to various spatial weight matrices as well as allowing for the endogeneity of unemployment. We …
Persistent link: https://www.econbiz.de/10008836645
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Treatment Effects with Unobserved Heterogeneity: A Set Identification Approach
Lee, Yoonseok; Jun, Sung Jae; Shin, Youngki - Center for Policy Research, Maxwell School - 2014
heterogeneity is properly controlled for. We use certain stationarity assumptions to obtain the bounds. Dynamics in the treatment …
Persistent link: https://www.econbiz.de/10010892357