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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain … latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of … Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011636052
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A note on specification testing in some structural regression models
Beckert, Walter - 2019
There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...
Persistent link: https://www.econbiz.de/10012008229
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Avoiding the Pitfalls of Instrumental Variables Estimation with Few or Many Instruments
Murray, Michael P. - 2011
Instrumental variables estimation can, in principle, avoid biases that ordinary least squares estimation suffers when explanatory variables are correlated with the disturbances. Finding appropriate instruments is a challenge. Ten strategies for avoiding invalid instruments (those correlated with...
Persistent link: https://www.econbiz.de/10013122905
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Partial independence in nonseparable models
Masten, Matthew A.; Poirier, Alexandre - 2016
We analyze identification of nonseparable models under three kinds of exogeneity assumptions weaker than full …
Persistent link: https://www.econbiz.de/10011488374
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Generalized instrumental variable models
Chesher, Andrew; Rosen, Adam M. - 2014
. We use tools from random set theory to study identification in such models and provide a sharp characterization of the …
Persistent link: https://www.econbiz.de/10010233585
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Generalised instrumental variable models
Chesher, Andrew; Rosen, Adam M. - 2013
. We use tools from random set theory to study identification in such models and provide a sharp characterisation of the …
Persistent link: https://www.econbiz.de/10009788446
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A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10013277475
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Estimating models of supply and demand : instruments and covariance restrictions
MacKay, Alexander; Miller, Nathan H. - 2019 - This Draft: May 29, 2019
We consider the identification of empirical models of supply and demand. As is well known, a supply-side instrument can … and cost shocks. The covariance restriction approach can obtain identification even the absence of instruments. Further …
Persistent link: https://www.econbiz.de/10012019872
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Let the data speak? : on the importance of theory-based instrumental variable estimations
Grossmann, Volker; Osikominu, Aderonke - 2019
In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …
Persistent link: https://www.econbiz.de/10011962295
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Let the data speak? : on the importance of theory-based instrumental variable estimations
Grossmann, Volker; Osikominu, Aderonke - 2019
In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …
Persistent link: https://www.econbiz.de/10011972484