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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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IV Quantile Regression for Group-Level Treatments, with an Application to the Effects of Trade on the Distribution of Wages
Chetverikov, Denis - 2013
We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor (1981). Standard quantile regression techniques are inconsistent in this setting, even...
Persistent link: https://www.econbiz.de/10013071528
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Historical Econometrics : Instrumental Variables and Regression Discontinuity Designs
Valencia Caicedo, Felipe - 2020
, acknowledging that there are other useful sources of identification available to tackle potential endogeneity issues …
Persistent link: https://www.econbiz.de/10012824629
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Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Dunker, Fabian - 2015
In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates of the risk for the iteratively regularized Newton method applied to these problems....
Persistent link: https://www.econbiz.de/10011392754
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Sparse Linear Models and L1-Regularized 2SLS with High-Dimensional Endogenous Regressors and Instruments
Zhu, Ying - 2018
We explore the validity of the 2-stage least squares estimator with l_{1}-regularization in both stages, for linear triangular models where the numbers of endogenous regressors in the main equation and instruments in the first-stage equations can exceed the sample size, and the regression...
Persistent link: https://www.econbiz.de/10012937114
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Semiparametric estimation of quantile treatment effects with endogeneity
Wüthrich, Kaspar - 2015
This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions...
Persistent link: https://www.econbiz.de/10011297659
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Decentralization estimators for instrumental variable quantile regression models
Kaido, Hiroaki; Wüthrich, Kaspar - 2019
identification results and to fast, easy to implement, and tuning-free estimators that do not require the availability of high …
Persistent link: https://www.econbiz.de/10012053040
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Breaking ties : regression discontinuity design meets market design
Abdulkadiroğlu, Atila; Angrist, Joshua D.; Narita, Yusuke - 2019
Centralized school assignment algorithms must distinguish between applicants with the same preferences and priorities. This is done with randomly assigned lottery numbers, nonlottery tie-breakers like test scores, or both. The New York City public high school match illustrates the latter, using...
Persistent link: https://www.econbiz.de/10011989205
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Chapter 7. Endogeneity in Empirical Corporate Finance 1
Roberts, Michael R.; Whited, Toni M. - 2013
This chapter discusses how applied researchers in corporate finance can address endogeneity concerns. We begin by reviewing the sources of endogeneity—omitted variables, simultaneity, and measurement error—and their implications for inference. We then discuss in detail a number of...
Persistent link: https://www.econbiz.de/10014025557