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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

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

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

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

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

Maximum score estimation of preference parameters for a binary choice model under uncertainty

Chen, Le-Yu; Sokbae 'Simon' Lee; Sung, Myung Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...

Persistent link: https://www.econbiz.de/10010640964

Maximal uniform convergence rates in parametric estimation problems

Beckert, Walter; McFadden, Daniel - Centre for Microdata Methods and Practice (CEMMAP) - 2005

This paper considers parametric estimation problems with i.i.d. data. It focusses on rate-effciency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the...

Persistent link: https://www.econbiz.de/10005811438

ExpEnd, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data

Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2002

ExpEnd is a Gauss programme for non-linear generalised method of moments (GMM) estimation of exponential models with endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM for cross section data using moment conditions...

Persistent link: https://www.econbiz.de/10005811450

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura, henceforth A, S and K respectively. Because the breadth of material covered by AS and K is so vast, we concentrate only on a few topics. Generalized empirical likelihood (GEL) provides the focus for...

Persistent link: https://www.econbiz.de/10005811452