Similar Search Results

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

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

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

Estimating causal effects with observational data guidelines for agricultural and applied economists

Henningsen, Arne; Low, Guy; Wuepper, David; Dalhaus, Tobias - 2024

observational data requires appropriate research designs and convincing identification strategies, which are usually very difficult … that results are interpreted as causal despite lacking a robust identification strategy, which has contributed to a … discuss the chosen identification strategies in their publications. …

Persistent link: https://www.econbiz.de/10015162983

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

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

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

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

A comparison of two qantile models with endogeneity

Wüthrich, Kaspar - 2014

This paper analyzes estimators based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006) under the local quantile treatment effects (LQTE) framework (Abadie et al., 2002). I show that the quantile treatment effect (QTE) estimators in the IVQR...

Persistent link: https://www.econbiz.de/10010437770

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