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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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The impact of health on wages: Evidence from the British Household Panel Survey
(*), Nigel Rice; Contoyannis, Paul - In: Empirical Economics 26 (2001) 4, pp. 599-622
While income is generally considered an important determinant of health, little evidence has been offered on the reverse relationship, particularly for developed economies. This paper considers the effect of self-assessed general and psychological health on hourly wages using longitudinal data...
Persistent link: https://www.econbiz.de/10005382234
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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Consistently bounding parameter values with one instrument and two endogenous explanatory variables
Dunn, Richard A - In: Economics Bulletin 32 (2012) 2, pp. 1074-1081
The current paper considers a linear regression framework with two endogenous regressors, but only one instrument that … different sources of endogeneity act in opposing directions and hence IV regression can generate economically meaningful bounds. …
Persistent link: https://www.econbiz.de/10011278545
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On the estimation of a binary response model in a selected population
Stanghellini, Elena; Stingo, Francesco Claudio; … - Dipartimento di Economia, Università degli Studi di Perugia - 2008
A generalization of the Probit model is presented, with the extended skew-normal cumulative distribution as a link function, which can be used for modelling a binary response variable in the presence of selectivity bias. The estimate of the parameters via ML is addressed, and inference on the...
Persistent link: https://www.econbiz.de/10008528407
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Bayesian and Classical Approaches to Instrumental Variables Regression
Kleibergen, Frank; Zivot, Eric - EconWPA - 1998
We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression … Bayesian and classical procedures in linear regression models: i.e., Bayesian analysis with a diffuse prior leads to posteriors … instrumental variables regression model can be obtained from a reduced rank restriction on a multivariate linear model to determine …
Persistent link: https://www.econbiz.de/10005062530
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Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors
Dufour, Jean-Marie; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 2000
We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or weak instruments, so no...
Persistent link: https://www.econbiz.de/10005100901
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The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10005688501
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On the Interpretation of Instrumental Variables in the Presence of Specification Errors
Swamy, P.A.V.B.; Tavlas, George S.; Hall, Stephen G. - In: Econometrics 3 (2015) 1, pp. 55-64
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the … estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of …
Persistent link: https://www.econbiz.de/10011147133
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A note on the impact evaluation of public policies: the counterfactual analysis
Loi, Massimo; Rodrigues, Margarida - Volkswirtschaftliche Fakultät, … - 2012
counterfactual analysis evaluation strategies: propensity score matching, regression discontinuity design, differences …
Persistent link: https://www.econbiz.de/10011112278