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Shrinkage methods for instrumental variable estimation
Okui, Ryo - Econometric Society - 2004
This paper proposes shrinkage methods in instrumental variable estimations to solve the ``many instruments'' problem. Even though using a large number of instruments reduces the asymptotic variances of the estimators, it has been observed both in theoretical works and in practice that in finite...
Persistent link: https://www.econbiz.de/10005342378
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Stochastic Frontier Models With Correlated Error Components
Smith, Murray D - Econometric Society - 2004
In the productivity modelling literature, the disturbances U (representing technical inefficiency) and V (representing noise) of the composite error W=V-U of the stochastic frontier model are assumed to be independent random variables. By employing the copula approach to statistical modelling,...
Persistent link: https://www.econbiz.de/10005702594
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Treatment Effect Heterogeneity in Theory and Practice
Angrist, Joshua - Econometric Society - 2004
Instrumental Variables (IV) methods identify internally valid causal effects for individuals whose treatment status is manipulable by the instrument at hand. Inference for other populations inevitably requires some sort of homogeneity assumption. I develop a simple theoretical framework that...
Persistent link: https://www.econbiz.de/10005328944
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Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments
Swanson, Norman R.; Chao, John C. - Econometric Society - 2004
This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...
Persistent link: https://www.econbiz.de/10005329031
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Identification of Equilibrium Models of Local Jurisdictions
Sieg, Holger; Epple, Dennis - Econometric Society - 2004
reasonably well. One drawback of the approach adopted in most empirical studies is that identification of important parameters of … discussion of identification and estimation of hierarchical equilibrium models in a semi-parametric framework. We show that a … suggest that identification of non-hierarchical model may ultimately have to rely on stronger assumptions on the distribution …
Persistent link: https://www.econbiz.de/10005699684
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Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions
Jang, Kyungho - Econometric Society - 2004
autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for …
Persistent link: https://www.econbiz.de/10005702745
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What Determines Foreign Direct Investment? An Empirical Investigation
Larrain, Felipe - Econometric Society - 2004
Foreign Direct Investment has become an important source of long-term capital inflows for less developed countries in the last two decades. As documented in previous literature, FDI flows may increase permanently domestic output and represent an important source of technological spillovers for...
Persistent link: https://www.econbiz.de/10005328884
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Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics
Schmidt, Peter; Alvarez, Antonio; Amsler, Christine - Econometric Society - 2004
In this paper, we are interested in a stochastic frontier model in which observable characteristics of the firms affect their levels of technical inefficiency. Let u ≥ 0 be the one-sided error reflecting technical inefficiency, and let z be a set of variables that affect u. We write u as...
Persistent link: https://www.econbiz.de/10005342372
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Assessing the Impact of Private Sector Balance Sheets Effects on Financial Crises: a comparison of Bayesian and information-theoretic measures of model uncertainty
Weeks, M.; Godsill, S.; Stone, M. - Econometric Society - 2004
This paper examines the intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. We compare the performance of a full Bayesian and an information-theoretic approach in addressing the econometric problems posed by the lack of a unifying...
Persistent link: https://www.econbiz.de/10005699629
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Panel Unit Root Tests under Cross- sectional Dependence
Das, Samarjit; Breitung, Joerg - Econometric Society - 2004
In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of...
Persistent link: https://www.econbiz.de/10005063717