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We show that the quantile regression estimator is consistent and asymptotically normal when the error terms are correlated within clusters but independent across clusters. A consistent estimator of the covariance matrix of the asymptotic distribution is provided and we propose a specification...
Persistent link: https://www.econbiz.de/10010674446
In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.
Persistent link: https://www.econbiz.de/10010576435
Persistent link: https://www.econbiz.de/10009848482
Abstract We study the properties of the quantile regression estimator when data are sampled from independent and identically distributed clusters, and show that the estimator is consistent and asymptotically normal even when there is intra-cluster correlation. A consistent estimator of the...
Persistent link: https://www.econbiz.de/10014612570
Tests of overidentifying restrictions are widely used in practice. However, there is often confusion about the nature of their null hypothesis and about the interpretation of their outcome. In this note we argue that these tests give little information on whether the instruments are correlated...
Persistent link: https://www.econbiz.de/10009357955
Persistent link: https://www.econbiz.de/10008814163
We show that the quantile regression estimator is consistent and asymptotically normal when the error terms are correlated within clusters but independent across clusters. A consistent estimator of the covariance matrix of the asymptotic distribution is provided and we propose a speci?cation...
Persistent link: https://www.econbiz.de/10010883474
This article reviews a number of recent contributions to estimation and inference for models defined by moment condition restrictions. The particular emphasis is on the generalized empirical likelihood class of estimators as an alternative to the generalized method of moments. Estimation methods...
Persistent link: https://www.econbiz.de/10010886198
This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of estimators for models specified by nonsmooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient generalized method of...
Persistent link: https://www.econbiz.de/10008800260
Helpman, Melitz, and Rubinstein (2008)�HMR�present a rich theoretical model to study the determinants of bilateral trade flows across countries. The model is then empirically implemented through a two-stage estimation procedure. This note seeks to clarify some econometric aspects of the...
Persistent link: https://www.econbiz.de/10005771396