Showing 1 - 10 of 198
The Heckman sample selection model relies on the assumption of normal and homoskedastic disturbances. However, before considering more general, alternative semiparametric models that do not need the normality assumption, it seems useful to test this assumption. Following Meijer and Wansbeek...
Persistent link: https://www.econbiz.de/10010417177
We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...
Persistent link: https://www.econbiz.de/10011411381
Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these...
Persistent link: https://www.econbiz.de/10011654182
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...
Persistent link: https://www.econbiz.de/10010478987
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...
Persistent link: https://www.econbiz.de/10011297557
This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from...
Persistent link: https://www.econbiz.de/10011822348
In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...
Persistent link: https://www.econbiz.de/10011823357
This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...
Persistent link: https://www.econbiz.de/10011653828
This paper studies method of simulated moments (MSM) estimators that are implemented using Bayesian methods, specifically Markov chain Monte Carlo (MCMC). Motivation and theory for the methods is provided by Chernozhukov and Hong (2003). The paper shows, experimentally, that confidence intervals...
Persistent link: https://www.econbiz.de/10012642418
The asymptotic distribution of the linear instrumental variables (IV) estimator with empirically selected ridge regression penalty is characterized. The regularization tuning parameter is selected by splitting the observed data into training and test samples and becomes an estimated parameter...
Persistent link: https://www.econbiz.de/10012312086