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Overidentification Tests with Grouped Data

Hoxby, Caroline - 1998

This paper examines the validity of overidentification tests and exogeneity tests in the presence of grouped data. We find that even a small intra-group correlation, when instruments do not vary within groups, may generate a substantial bias in the standard overidentification tests described in...

Persistent link: https://www.econbiz.de/10012472424

Specification Testing in Panel Data With Instrumental Variables

Metcalf, Gilbert E. - 1996

This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend in an analogous way to panel data sets with endogenous...

Persistent link: https://www.econbiz.de/10012473246

Information Theoretic Approaches to Inference in Moment Condition Models

Imbens, Guido W. - 1995

One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and …

Persistent link: https://www.econbiz.de/10012473589

Split Sample Instrumental Variables

Angrist, Joshua D. - 1995

Instrumental Variables (IV) estimates tend to be biased in the same direction as Ordinary Least Squares (OLS) in finite samples if the instruments are weak. To address this problem we propose a new IV estimator which we call Split Sample Instrumental Variables (SSIV). SSIV works as follows: we...

Persistent link: https://www.econbiz.de/10012473745

Average Causal Response with Variable Treatment Intensity

Angrist, Joshua D. - 1995

In evaluation research, an average causal effect is usually defined as the expected difference between the outcomes of the treated, and what these outcomes would have been in the absence of treatment. This definition of causal effects makes sense for binary treatments only. In this paper, we...

Persistent link: https://www.econbiz.de/10012473746

A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model

West, Kenneth D. - 1995

Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional...

Persistent link: https://www.econbiz.de/10012473844

Accounting for Dropouts in Evaluations of Social Experiments

Heckman, James - 1994

This paper considers the statistical and economic justification for one widely-used method of adjusting data from social experiments to account for dropping-out behavior due to Bloom (1984). We generalize the method to apply to distributions not just means, and present tests of the key...

Persistent link: https://www.econbiz.de/10012474066

Continuous Record Asymptotics for Rolling Sample Variance Estimators

Foster, Dean P. - 1994

It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)...

Persistent link: https://www.econbiz.de/10012474103

Biases in Twin Estimates of the Return to Schooling : A Note on Recent Research

Neumark, David - 1994

Ashenfelter and Krueger's (1993) within-twin, measurement-error- corrected estimate of the return to schooling is about 13-16 percent. If their estimate is unbiased, then their results imply considerable downward measurement error bias in uncorrected within-twin estimates of the return to...

Persistent link: https://www.econbiz.de/10012474164

A Two-Stage Estimator for Probit Models with Structural Group Effects

Borjas, George J. - 1993

This paper outlines a two-stage technique for estimation and inference in probit models with structural group effects … computational reasons, existing random-effects models are impractical for estimation and inference in this type of problem. Our two … terms of estimation and inference -- to traditional estimators …

Persistent link: https://www.econbiz.de/10012474429