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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous … regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios … regarding the number and strength of instruments.The resulting approximation encompasses existing bias approximations, which are …
Persistent link: https://www.econbiz.de/10010288373
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Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2010
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 baselinepretreatment 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/10010288398
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Finite sample bias corrected IV estimation for weak and many instruments
Harding, Matthew; Hausman, Jerry; Palmer, Christopher - 2015
This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the … presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … in terms of mean bias and MSE. …
Persistent link: https://www.econbiz.de/10011445748
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Generalized empirical likelihood estimamtors and tests under partial, weaks and strong identification
Guggenberger, Patrik; Smith, Richard J. - 2003
The principal purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) methods for time series instrumental variable models specified by nonlinear moment restrictions when identification may be weak. The paper makes two main contributions. Firstly, we show...
Persistent link: https://www.econbiz.de/10010318480
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Generalized empirical likelihood tests in time models with potential identification failure
Guggenberger, Patrik; Smith, Richard J. - 2005
We introduce test statistics based on generalized empirical likelihood methods that can be used to test simple hypotheses involving the unknown parameter vector in moment condition time series models. The test statistics generalize those in Guggenberger and Smith (2005) from the i.i.d. to the...
Persistent link: https://www.econbiz.de/10010318483
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Identification and estimation of hedonic models
Ekeland, Ivar; Heckman, James J.; Nesheim, Lars - 2002
This paper considers the identification and estimation of hedonic models. We establish that technology and preferences in a separable version of the hedonic model are generically identified up to affine transformations from data on demand and supply in a single hedonic market. For a very general...
Persistent link: https://www.econbiz.de/10010318545
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Estimating average marginal effects in nonseparable structural systems
Schennach, Susanne; White, Halbert; Chalak, Karim - 2007
We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...
Persistent link: https://www.econbiz.de/10010318554
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Sharp identified sets for discrete variable IV models
Chesher, Andrew; Smolinski, Konrad - 2010
Instrumental variable models for discrete outcomes are set, not point, identifying. The paper characterises identi.ed sets of structural functions when endogenous variables are discrete. Identi.ed sets are unions of large numbers of convex sets and may not be convex nor even connected. Each of...
Persistent link: https://www.econbiz.de/10010288393
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Identification region of the potential outcome distributions under instrument independence
Kitagawa, Toru - 2009
This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...
Persistent link: https://www.econbiz.de/10010288420
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Homophily and transitivity in dynamic network formation
Graham, Bryan S. - 2016
In social and economic networks linked agents often share additional links in common. There are two competing explanations for this phenomenon. First, agents may have a structural taste for transitive links - the returns to linking may be higher if two agents share links in common. Second,...
Persistent link: https://www.econbiz.de/10011594326