In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.

This paper studies the stochastic processes of household income in China using longitudinal data from CHNS 1989–2009. We consider both labor income and total household income. We find that (i) compared with the US households in PSID, income of the Chinese households is much more uncertain;...

This paper shows that instrumental variables estimators currently in use, require strong but neglected auxiliary assumptions to be consistent in situations with partially missing instruments. We introduce an alternative instrumental variables estimator that does not require auxiliary assumptions.

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

Within the confines of linear tax and complete market, we show that the efficiency force for a negative capital tax may not be strong enough to reverse the politico-economic force for a positive redistributive taxation under temptation and self-control preferences.

The nonparametric identification of the local average treatment effect (LATE) hinges on the satisfaction of three instrumental variable assumptions: (1) unconfounded assignment of the instrument, (2) no average direct effect of the instrument on the outcome within compliance types (exclusion...