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Identification‐ and singularity‐robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …
Persistent link: https://www.econbiz.de/10012202897
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Panel data models with nonadditive unobserved heterogeneity : estimation and inference
Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481
Persistent link: https://www.econbiz.de/10010252381
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Panel data models with nonadditive unobserved heterogeneity : estimation and inference
Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481
This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random coefficients and endogenous regressors. The quantities of interest - means, variances, and other moments of the random coefficients - are estimated by cross sectional sample moments...
Persistent link: https://www.econbiz.de/10011757086
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Testing the quantity-quality model of fertility : estimation using unrestricted family size models
Mogstad, Magne; Wiswall, Matthew - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 157-192
Persistent link: https://www.econbiz.de/10011576900
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Hurdles and steps : estimating demand for solar photovoltaics
Gillingham, Kenneth; Tsvetanov, Tsvetan - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 275-310
This paper estimates demand for residential solar photovoltaic (PV) systems using a new approach to address three empirical challenges that often arise with count data: excess zeros, unobserved heterogeneity, and endogeneity of price. Our results imply a price elasticity of demand for solar PV...
Persistent link: https://www.econbiz.de/10011994860
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Testing the quantity-quality model of fertility : Estimation using unrestricted family size models
Mogstad, Magne; Wiswall, Matthew - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 157-192
We examine the relationship between child quantity and quality. Motivated by the theoretical ambiguity regarding the sign of the marginal effects of additional siblings on children’s outcomes, our empirical model allows for an unrestricted relationship between family size and child outcomes....
Persistent link: https://www.econbiz.de/10011798965
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - In: Quantitative economics : QE ; journal of the … 3 (2012) 2, pp. 211-255
Persistent link: https://www.econbiz.de/10009611873
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Unbiased instrumental variables estimation under known first-stage sign
Andrews, Isaiah; Armstrong, Timothy B. - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 479-503
We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on...
Persistent link: https://www.econbiz.de/10011801571
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On optimal inference in the linear IV model
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485
This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...
Persistent link: https://www.econbiz.de/10012042425
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A more powerful subvector Anderson Rubin test in linear instrumental variables regression
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 487-526
values that adapt to the strength of identification of the parameters not under test. This test has correct size and strictly …
Persistent link: https://www.econbiz.de/10012042429