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Semiparametric Estimation of Instrumental Variable Models for Causal Effects

Abadie, Alberto - 2000

This article introduces a new class of instrumental variable (IV) estimators of causal treatment effects for linear and nonlinear models with covariates. The rationale for focusing on nonlinear models is to improve the approximation to the causal response function of interest. For example, if...

Persistent link: https://www.econbiz.de/10012470874

Identification and Estimation of 'Irregular' Correlated Random Coefficient Models

Graham, Bryan S. - 2008

In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The …

Persistent link: https://www.econbiz.de/10012464178

Instrumental Variables Estimation of Quantile Treatment Effects

Abadie, Alberto - 1998

This paper introduces an instrumental variables estimator for the effect of a binary treatment on the quantiles of potential outcomes. The quantile treatment effects (QTE) estimator accommodates exogenous covariates and reduces to quantile regression as a special case when treatment status is...

Persistent link: https://www.econbiz.de/10012472370

How Precise are Estimates of the Natural Rate of Unemployment?

Staiger, Douglas - 1996

This paper investigates the precision of conventional and unconventional estimates of the natural rate of unemployment (the 'NAIRU'). The main finding is that the NAIRU is imprecisely estimated: a typical 95% confidence interval for the NAIRU in 1990 is 5.1% to 7.7%. This imprecision obtains...

Persistent link: https://www.econbiz.de/10012473382

Efficient Estimation of a Dynamic Error-Shock Model

Hsiao, Cheng - 1976

This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary …

Persistent link: https://www.econbiz.de/10012478972

Evaluating Wireless Carrier Consolidation Using Semiparametric Demand Estimation

Bajari, Patrick - 2006

The US mobile phone service industry has dramatically consolidated over the last two decades. One justification for consolidation is that merged firms can provide consumers with larger coverage areas at lower costs. We estimate the willingness to pay for national coverage to evaluate this...

Persistent link: https://www.econbiz.de/10012466240

Parametric and Non-Parametric Approaches to Price and Tax Reform

Deaton, Angus - 1996

In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax- induced price changes affect quantities supplied and demanded. In this paper, we present various econometric procedures for estimating how taxes affect demand....

Persistent link: https://www.econbiz.de/10012473284

Instrumental Variables, Selection Models, and Tight Bounds on the Average Treatment Effect

Heckman, James J. - 2000

This paper exposits and relates two distinct approaches to bounding the average treatment effect. One approach, based on instrumental variables, is due to Manski (1990, 1994), who derives tight bounds on the average treatment effect under a mean independence form of the instrumental variables...

Persistent link: https://www.econbiz.de/10012470929

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

for confidence interval coverage as a function of instrument strength and explanatory variable endogeneity. These show … undercoverage in excess of 5% only for endogeneity beyond that seen even when IV and OLS estimates differ by an order of magnitude …. Three widely cited microeconometric applications are used to explain why endogeneity is likely low enough for IV estimates …

Persistent link: https://www.econbiz.de/10012660095

Valid t-ratio Inference for IV

Lee, David S.; McCrary, Justin; Moreira, Marcelo J.; … - National Bureau of Economic Research - 2021

In the single-IV model, researchers commonly rely on t-ratio-based inference, even though the literature has quantified its potentially severe large-sample distortions. Building on the approach for correcting inference of Stock and Yogo (2005), we introduce the tF critical value function,...

Persistent link: https://www.econbiz.de/10012616572

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