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Individual heterogeneity and average welfare

Hausman, Jerry; Newey, Whitney - Centre for Microdata Methods and Practice (CEMMAP) - 2013

Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. We find that the dimension of...

Persistent link: https://www.econbiz.de/10010827527

What do instrumental variable models deliver with discrete dependent variables?

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2013

We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...

Persistent link: https://www.econbiz.de/10010827566

Discrete choice non-response

Ramalho, Esmerelda A.; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

dependent variable is unobserved or situations when both dependent variable and covariates are missing for some sampling units … treatment of these various sampling structures is presented using a formulation of the nonresponse problems as a modification of … choice-based sampling. Extensions appropriate for nonresponse are detailed of Imbens' (1992) effcient generalized method of …

Persistent link: https://www.econbiz.de/10005037560

Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility

Beckert, Walter; Blundell, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

This paper considers structural nonparametric random utility models for continuous choice variables. It provides suffcient conditions on random preferences to yield reduced- form systems of nonparametric stochastic demand functions that allow global invertibility between demands and random...

Persistent link: https://www.econbiz.de/10005727677

An instrumental variable random coefficients model for binary outcomes

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2012

In this paper we study a random coefficient model for a binary outcome. We allow for the possibility that some or even all of the regressors are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are...

Persistent link: https://www.econbiz.de/10010593710

Simultaneous equations for discrete outcomes:coherence, completeness, and identification.

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2012

This paper studies simultaneous equations models for two or more discrete outcomes. These models may be incoherent, delivering no values of the outcomes at certain values of the latent variables and covariates, and they may be incomplete, delivering more than one value of the outcomes at certain...

Persistent link: https://www.econbiz.de/10010567020

GMM for panel count data models

Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2006

This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are...

Persistent link: https://www.econbiz.de/10005509534

Higher order properties of GMM and generalised empirical likelihood estimators

Newey, Whitney; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a...

Persistent link: https://www.econbiz.de/10005509541

Estimating average marginal effects in nonseparable structural systems

Schennach, Susanne; White, Halbert; Chalak, Karim - Centre for Microdata Methods and Practice (CEMMAP) - 2007

<p><p>We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...</p></p>

Persistent link: https://www.econbiz.de/10005509545

Quantiles for counts

Machado, Jose A. F.; Silva, J. M. C. Santos - Centre for Microdata Methods and Practice (CEMMAP) - 2002

This paper studies the estimation of conditional quantiles of counts. Given the discreteness of the data, some smoothness has to be artificially imposed on the problem. The methods currently available to estimate quantiles of count data either assume that the counts result from the...

Persistent link: https://www.econbiz.de/10005509547