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Viewpoint: An extended class of instrumental variables for the estimation of causal effects

Chalak, Karim; White, Halbert - In: Canadian Journal of Economics 44 (2011) 1, pp. 1-51

We examine how structural systems can yield observed variables instrumental in identifying and estimating causal effects. We provide an exhaustive characterization of potentially identifying conditional exogeneity relationships and demonstrate how structural relations determine exogeneity and...

Persistent link: https://www.econbiz.de/10008835066

Identifying Structural Effects in NonseparableSystems Using Covariates

White, Halbert; Chalak, Karim - Boston College / Department of Economics - 2008

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, specically parametric,...

Persistent link: https://www.econbiz.de/10009302533

Identifying Structural Effects in Nonseparable Systems Using Covariates

White, Halbert; Chalak, Karim - Department of Economics, Boston College - 2008

This paper demonstrates the extensive scope of an alternative to standard instrumental variables methods, namely covariate-based methods, for identifying and estimating effects of interest in general structural systems. As we show, commonly used econometric methods, specifically parametric,...

Persistent link: https://www.econbiz.de/10008518873

An Extended Class of Instrumental Variables for the Estimation of Causal Effects

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2007

This paper examines the ways in which structural systems can yield observed variables, other than the cause or treatment of interest, that can play an instrumental role in identifying and estimating causal effects. We focus speciÖcally on the ways in which structures determine exclusion...

Persistent link: https://www.econbiz.de/10005027845

Causality, Conditional Independence, and Graphical Separation in Settable Systems

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2008

We study the interrelations between (conditional) independence and causal relations in settable systems. We provide definitions in terms of functional dependence for direct, indirect, and total causality as well as for (indirect) causality via and exclusive of a set of variables. We then provide...

Persistent link: https://www.econbiz.de/10005074154

Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties

MacKinnon, James G.; White, Halbert - 1983

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small...

Persistent link: https://www.econbiz.de/10011940422

Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties

MacKinnon, James G.; White, Halbert - Economics Department, Queen's University - 1983

Persistent link: https://www.econbiz.de/10005653171

Forecast Evaluation with Shared Data Sets

Sullivan, Ryan; Timmermann, Allan G; White, Halbert - C.E.P.R. Discussion Papers - 2001

Data sharing is common practice in forecasting experiments in situations where fresh data samples are difficult or expensive to generate. This means that forecasters often analyze the same data set using a host of different models and sets of explanatory variables. This practice introduces...

Persistent link: https://www.econbiz.de/10005666706

Consequences of model misspecification for maximum likelihood estimation with missing data

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 7 (2019) 3/37, pp. 1-27

misspecification in the presence of incomplete data where maximum likelihood estimates are obtained by maximizing the observable … simultaneous presence of both missing data and model misspecification. These results are then used to derive robust hypothesis …) missing data. Second, we introduce a method for the detection of model misspecification in missing data problems using …

Persistent link: https://www.econbiz.de/10012160862

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in … developed for the purpose of identifying, classifying, and deriving novel model misspecification tests for finite …

Persistent link: https://www.econbiz.de/10011650480