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Is deflation costly after all? : evidence from noisy historical data

Kaufmann, Daniel - 2016 - This version: 28 November 2016

I study the link between real activity and deflation, taking into account measurement problems in 19th century CPI data …. Replications based on modern data show that measurement problems spuriously increase the volatility of inflation as well as the … substantially lower during 19th century deflations in the US, after controlling for measurement error using an IV …

Persistent link: https://www.econbiz.de/10011573259

Measurement Error in Imputation Procedures

Campos, Rodolfo G. - 2013

We study how estimators used to impute consumption in survey data are inconsistent due to measurement error in … between additional regressors and measurement error. On the other hand, low correlations between additional regressors and … instruments may reduce bias due to measurement error. We apply our findings by revisiting recent research that imputes consumption …

Persistent link: https://www.econbiz.de/10013071391

Bayesian Analysis of Instrumental Variable Models : Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

Persistent link: https://www.econbiz.de/10014165267

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/10014081811

A Robust Test for Weak Instruments with Multiple Endogenous Regressors

Lewis, Daniel J.; Mertens, Karel - 2022

Persistent link: https://www.econbiz.de/10014081836

A New Method for Uniform Subset Inference of Linear Instrumental Variables Models

Zhu, Yinchu - 2015

We propose a procedure for testing simple hypotheses on a subset of the structural parameters in linear instrumental variables models. Our test is valid uniformly over a large class of distributions allowing for identification failure and heteroskedasticity. The large-sample distribution of our...

Persistent link: https://www.econbiz.de/10013020836

GMM Estimation with Noncausal Instruments Under Rational Expectations

Lof, Matthijs - 2011

There is hope for the generalized method of moments (GMM). Lanne and Saikkonen (2011) show that the GMM estimator is inconsistent, when the instruments are lags of noncausal variables. This paper argues that this inconsistency depends on distributional assumptions, that do not always hold. In...

Persistent link: https://www.econbiz.de/10013117256

Addressing Endogeneity Without Strong Instruments : A Practical Guide to Heteroskedasticity-Based Instrumental Variables

Quiroga, Bernardo F. - 2019

This article provides an overview and guide to implementing heteroskedaticity-based instrumental variables (HBIV) in regression models with endogeneity, i.e., one or more of the regressors are correlated with the disturbance term. We discuss the problem of implementing standard instrumental...

Persistent link: https://www.econbiz.de/10012897129

Bayesian analysis of instrumental variable models : the potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010191002

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969