Narrow search
Showing 1 - 10 of 443
Cover Image
A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous … regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios … regarding the number and strength of instruments.The resulting approximation encompasses existing bias approximations, which are …
Persistent link: https://www.econbiz.de/10003989911
Cover Image
Comparing IV with structural models : what simple IV can and cannot identify
Heckman, James J.; Urzua, Sergio - 2010
This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...
Persistent link: https://www.econbiz.de/10003989921
Cover Image
Finite sample bias corrected IV estimation for weak and many instruments
Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015
This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the … presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … in terms of mean bias and MSE. …
Persistent link: https://www.econbiz.de/10011300710
Cover Image
Control variables, discrete instruments, and identification of structural functions
Newey, Whitney K.; Stouli, Sami - 2018
Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...
Persistent link: https://www.econbiz.de/10011901534
Cover Image
Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2010
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baselinepretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10003989944
Cover Image
Alternative asymptotics and the partially linear model with many regressors
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K. - 2015
Many empirical studies estimate the structural effect of some variable on an outcome of interest while allowing for many covariates. We present inference methods that account for many covariates. The methods are based on asymptotics where the number of covariates grows as fast as the sample...
Persistent link: https://www.econbiz.de/10011295588
Cover Image
An econometric model of network formation with degree heterogeneity
Graham, Bryan S. - 2017 - This draft: December 2016
I introduce a model of undirected dyadic link formation which allows for assortative matching on observed agent characteristics (homophily) as well as unrestricted agent level heterogeneity in link surplus (degree heterogeneity). Like in fixed effects panel data analyses, the joint distribution...
Persistent link: https://www.econbiz.de/10011596621
Cover Image
Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix
Grant, Nicky L.; Smith, Richard J. - 2019 - This Draft: January 2019
The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...
Persistent link: https://www.econbiz.de/10011962418
Cover Image
Semiparametrically efficient estimation of the average linear regression function
Graham, Bryan S.; Pinto, Cristine Campos de Xavier - 2018
Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive "treatments". Consider the linear regression of Y onto X in a subpopulation homogenous in...
Persistent link: https://www.econbiz.de/10011924562
Cover Image
Impossible inference in econometrics : theory and applications
Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...
Persistent link: https://www.econbiz.de/10011958082