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Generalized Moments Estimation for Panel Data
Druska, Viliam; Horrace, William C. - 2021
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10013232767
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Tests of Hypotheses Arising in the Correlated Random Coefficient Model
Heckman, James J. - 2010
This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance...
Persistent link: https://www.econbiz.de/10013137320
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Testing the Correlated Random Coefficient Model
Heckman, James J. - 2012
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 baseline-pretreatment 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/10013116685
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Estimating and Testing Models with Many Treatment Levels and Limited Instruments
Lochner, Lance - 2011
Many empirical microeconomic studies estimate econometric models that assume a single finite-valued discrete endogenous regressor (for example: different levels of schooling), exogenous regressors that are additively separable and enter the equation linearly; and coefficients (including per-unit...
Persistent link: https://www.econbiz.de/10013125173
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Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
West, Kenneth D. - 2012
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10013106202
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Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
West, Kenneth D. - 2007
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10012776859
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A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
Dumas, Bernard - 2000
Previous work by Dumas and Solnik (1993) has shown that a CAPM which incorporates foreign-exchange risk premia (a so-called 'international CAPM') is better capable empirically of explaining the structure of worldwide rates of return than does the classic CAPM. In the specification of that test,...
Persistent link: https://www.econbiz.de/10012788525
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Instrumental Variables and Causal Mechanisms : Unpacking the Effect of Trade on Workers and Voters
Dippel, Christian - 2017
Instrumental variables (IV) are a common means to identify treatment effects. But standard IV methods do not allow us to unpack the complex treatment effects that arise when a treatment and its outcome together cause a second outcome of interest. For example, IV methods have been used to show...
Persistent link: https://www.econbiz.de/10012960515
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Instrumental Variables : An Econometrician's Perspective
Imbens, Guido W. - 2014
I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent applications in settings of randomized experiments with...
Persistent link: https://www.econbiz.de/10013056855
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Identification in Differentiated Products Markets
Berry, Steven - 2015
Empirical models of demand for–and, often, supply of–differentiated products are widely used in practice, typically employing parametric functional forms and distributions of consumer heterogeneity. We review some recent work studying identification in a broad class of such models. This work...
Persistent link: https://www.econbiz.de/10013016658