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We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between...
Persistent link: https://www.econbiz.de/10003869273
This paper studies single equation models for binary outcomes incorporating instrumental variable restrictions. The models are incomplete in the sense that they place no restriction on the way in which values of endogenous variables are generated. The models are set, not point, identifying. The...
Persistent link: https://www.econbiz.de/10003869277
This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...
Persistent link: https://www.econbiz.de/10003878623
Persistent link: https://www.econbiz.de/10003481737
open research questions and interesting new research directions in the literature on the econometrics of DSGE models. These …
Persistent link: https://www.econbiz.de/10009744062
We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...
Persistent link: https://www.econbiz.de/10009718426
Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This paper develops a general nonparametric...
Persistent link: https://www.econbiz.de/10009667989
; Econometrics ; Random Coefficients ; Discrete Choice …
Persistent link: https://www.econbiz.de/10008824642
We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the sample size, n. We rigorously develop asymptotic...
Persistent link: https://www.econbiz.de/10008695561
Persistent link: https://www.econbiz.de/10003671554