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Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction
Chao, John C.; Swanson, Norman R. - 2003
We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and … construct a number of bias corrected OLS and IV estimators, which we show to be consistent under a sequential asymptotic scheme …. These bias-corrected estimators are also robust, in the sense that they remain consistent in a conventional asymptotic setup …
Persistent link: https://www.econbiz.de/10014030882
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Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It … can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature …: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well known and …
Persistent link: https://www.econbiz.de/10013314570
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Adaptive estimation of the dynamic linear model with fixed effects
Woutersen, Tiemen (contributor);  … - 2002 - [Elektronische Ressource]
This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...
Persistent link: https://www.econbiz.de/10001714098
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Empirical Bias Bandwidth Choice for Local Polynomial Matching Estimators
Flossmann, Anton - 2008
Bias Bandwidth Selection (EBBS) proposed by Ruppert (1997) is applied to account for the MSE computation of the matching …
Persistent link: https://www.econbiz.de/10012726981
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The Swiss Market for Construction Wood : Estimating Elasticities With Time Series Simultaneous Equations
Borzykowski, Nicolas - 2017
We use a rich yearly time series dataset to estimate demand and supply price- and cross-elasticities on the market for construction round wood in Switzerland, on the period 1949-2013. We consider both short term and long term relationships, thanks to the Error Correction Model and correct for...
Persistent link: https://www.econbiz.de/10012958470
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Parameter Estimation and Inference with Spatial Lags and Cointegration
Mutl, Jan - 2017
We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...
Persistent link: https://www.econbiz.de/10012974454
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Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix
Grant, Nicky L.; Smith, Richard J. - 2019 - This Draft: January 2019
The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...
Persistent link: https://www.econbiz.de/10011962418
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On Robust Inference in Time Series Regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted when transferring the HC technology to time series...
Persistent link: https://www.econbiz.de/10014576582
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Trajectory Balancing : A General Reweighting Approach to Causal Inference With Time-Series Cross-Sectional Data
Hazlett, Chad - 2018
We introduce trajectory balancing, a general reweighting approach to causal inference with time-series cross-sectional (TSCS) data. We focus on settings in which one or more units is exposed to treatment at a given time, while a set of control units remain untreated throughout a time window of...
Persistent link: https://www.econbiz.de/10012914754
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Consistent Estimation with a Large Number of Weak Instruments
Chao, John C.; Swanson, Norman R. - 2007
This paper conducts a general analysis of the conditions under which consistent estimation can be achieved in instrumental variables regression when the available instruments are weak in the local-to-zero sense. More precisely, the approach adopted in this paper combines key features of the...
Persistent link: https://www.econbiz.de/10014030883