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We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10013106202
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10012776859
Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator. In the...
Persistent link: https://www.econbiz.de/10013322148
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10012465519
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and...
Persistent link: https://www.econbiz.de/10012465520
sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and … functions which are of independent theoretical and practical interest. Specifically, we develop the asymptotic theory for these … innovatively using moderate deviation theory for self-normalized sums, we provide convergence rates for these estimators that are …
Persistent link: https://www.econbiz.de/10008695561
Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...
Persistent link: https://www.econbiz.de/10011374406
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