Similar Search Results

Nonlinear Difference-in-Differences in Repeated Cross Sections with Continuous Treatments

Hoderlein, Stefan; D'Haultfoeuille, Xavier; Sasaki, Yuya - Department of Economics, Boston College - 2013

This paper studies the identification of nonseparable models with continuous, endogenous regressors, also called …

Persistent link: https://www.econbiz.de/10010820061

Determining the Number of Factors in Approximate Factor Models

Bai, Jushan; Ng, Serena - Department of Economics, Boston College - 2000

In this paper we develop some econometric theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose some panel C(p) criteria and show that the number of...

Persistent link: https://www.econbiz.de/10005074191

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

Persistent link: https://www.econbiz.de/10005027835

Instrumental variables and GMM: Estimation and testing

Baum, Christopher; Schaffer, Mark E.; Stillman, Steven - Department of Economics, Boston College - 2002

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

Persistent link: https://www.econbiz.de/10005074035

An Extended Class of Instrumental Variables for the Estimation of Causal Effects

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2007

identification. We show that by carefully specifying the structural equations and by extending the standard notion of instrumental … governing the unobservables, as these play a crucial role in creating obstacles or opportunities for identification. Because our … results exhaust the possibilities for identification, we ensure that there are no other opportunities for identification based …

Persistent link: https://www.econbiz.de/10005027845

Using Heteroskedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models

Lewbel, Arthur - Department of Economics, Boston College - 2003

This paper proposes a new method of obtaining identification in mismeasured regressor models, triangular systems, and … simultaneous equation systems. The method may be used in applications where other sources of identification such as instrumental … generalized method of moments. Identification comes from a heteroskedastic covariance restriction that is shown to be a feature of …

Persistent link: https://www.econbiz.de/10005074046

Identification of Average Random Coefficients under Magnitude and Sign Restrictions on Confounding

Chalak, Karim - Department of Economics, Boston College - 2012

proportional confounding are limit cases yielding full identification. Alternatively, the elements of beta-hat are partially …

Persistent link: https://www.econbiz.de/10010595747

Globalization and Consumption Patterns among the OECD Countries

Konya, Istvan; Ohashi, Hiroshi - Department of Economics, Boston College - 2004

The paper examines the evolution of consumption patterns in Organization for Economic Co-operation and Development (OECD) countries from 1985 to 1999. Estimation of demand function parameters uncovered consistent evidence that differences in consumption patterns have recently diminished between...

Persistent link: https://www.econbiz.de/10004968839

Aggregation of Space-Time Processes

Giacomini, Raffaella; Granger, Clive W.J. - Department of Economics, Boston College - 2002

In this paper we compare the relative efficiency of different methods of forecasting the aggregate of spatially correlated variables. Small sample simulations confirm the asymptotic result that improved forecasting performance can be obtained by imposing a priori constraints on the amount of...

Persistent link: https://www.econbiz.de/10004968862

Tricks With Hicks: The EASI Demand System

Lewbel, Arthur; Pendakur, Krishna - Department of Economics, Boston College - 2006

We invent Implicit Marshallian Demands, a new type of demand function that combines desirable features of Hicksian and Marshallian demand functions. We propose and estimate the Exact Affine Stone Index (EASI) Implicit Marshallian Demand system. Like the Almost Ideal Demand (AID) system, EASI...

Persistent link: https://www.econbiz.de/10005041763