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Solon, Gary - 2013

The purpose of this paper is to help empirical economists think through when and how to weight the data used in estimation. We start by distinguishing two purposes of estimation: to estimate population descriptive statistics and to estimate causal effects. In the former type of research,...

Persistent link: https://www.econbiz.de/10012459802

The Effect of Ignoring Heteroscedasticity on Estimates of the Tobit Model

Brown, Charles - 1983

We consider the sensitivity of the Tobit estimator to heteroscedasticity. Our single independent variable is a dummy …. Heteroscedasticity biases the Tobit estimate of the two means in opposite directions, so the bias in estimating their difference can be …

Persistent link: https://www.econbiz.de/10012478050

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

Froot, Kenneth - 1990

This paper provides a simple method to account for heteroskesdasticity and cross-sectional dependence in samples with large cross sections and relatively few time series observations. The estimators we derive are motivated by cross-sectional regression studies in finance and accounting....

Persistent link: https://www.econbiz.de/10012475764

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Newey, Whitney K. - 1986

This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance …

Persistent link: https://www.econbiz.de/10012477198

Generalized Moments Estimation for Panel Data

Druska, Viliam - 2003

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross-sectional units. It is assumed that the disturbances are spatially correlated, based on some geographic or economic proximity measure. If the time dimension of the data is large, feasible...

Persistent link: https://www.econbiz.de/10012469113

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

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 1984

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10012477826

Optimal Invariant Similar Tests for Instrumental Variables Regression

Andrews, Donald W.K. - 2004

This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...

Persistent link: https://www.econbiz.de/10012468031

Testing Models of Low-Frequency Variability

Mueller, Ulrich - 2006

We develop a framework to assess how successfully standard times eries models explain low-frequency variability of a data series. The low-frequency information is extracted by computing a finite number of weighted averages of the original data, where the weights are low-frequency trigonometric...

Persistent link: https://www.econbiz.de/10012465990

Testing for Weak Instruments in Linear IV Regression

Stock, James H. - 2002

Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the...

Persistent link: https://www.econbiz.de/10012469407