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Are OLS Estimates of the Return to Schooling Biased Downward? Another Look
Blackburn, McKinley L. - 1993
We examine evidence on omitted-ability bias in estimates of the economic return to schooling, using proxies for …
Persistent link: https://www.econbiz.de/10012474703
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Predictive Regressions
Stambaugh, Robert F. - 1999
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012471691
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Estimating Log Models : To Transform or Not to Transform?
Manning, Willard G. - 1999
-variety statistical problems - skewness, kurtosis, and heteroscedasticity - can lead to an appreciable bias for some estimators or …
Persistent link: https://www.econbiz.de/10012471372
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Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
Cumby, Robert E. - 1990
This paper derives the asymptotic distribution for a vector of sample autocorrelations of regression residuals from a quite general linear model. The asymptotic distribution forms the basis for a test of the null hypothesis that the regression error follows a moving average of order q...
Persistent link: https://www.econbiz.de/10012475572
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An Adaptive Nonlinear Least Square Algorithm
Dennis, John E. - 1977
NL2SOL is a modular program for solving the nonlinear least-squares problem that incorporates a number of novel features. It maintains a secant approximation S to the second-order part of the least-squares Hessian and adaptively decides when to use this approximation. We have found it very...
Persistent link: https://www.econbiz.de/10012478936
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A Monte Carlo Study of Two Robust Alternatives of Least Square Regression Estimation
Hill, Richard W. - 1974
We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across...
Persistent link: https://www.econbiz.de/10012479068
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One Instrument to Rule Them All : The Bias and Coverage of Just-ID IV
Angrist, Joshua D.; Kolesar, Michal - National Bureau of Economic Research - 2021
-ID) IV estimates using a single instrument are also biased, but the importance of weak-instrument bias in just-ID IV … to be reliable. We then show that an estimator that's unbiased given a population first-stage sign restriction has bias … shown to halve the median bias of conventional IV without reducing coverage. To the extent that sign-screening is already …
Persistent link: https://www.econbiz.de/10012660095
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When is TSLS Actually LATE?
Blandhol, Christine; Bonney, John; Mogstad, Magne; … - National Bureau of Economic Research - 2022
Linear instrumental variable estimators, such as two-stage least squares (TSLS), are commonly interpreted as estimating positively weighted averages of causal effects, referred to as local average treatment effects (LATEs). We examine whether the LATE interpretation actually applies to the types...
Persistent link: https://www.econbiz.de/10012814484
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Broken or Fixed Effects?
Gibbons, Charles E. - 2014
We replicate eight influential papers to provide empirical evidence that, in the presence of heterogeneous treatment effects, OLS with fixed effects (FE) is generally not a consistent estimator of the average treatment effect (ATE). We propose two alternative estimators that recover the ATE in...
Persistent link: https://www.econbiz.de/10012458325
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Rethinking Performance Evaluation
Harvey, Campbell R. - 2016
We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make...
Persistent link: https://www.econbiz.de/10012456541