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Identification and method of moments estimation in polynomial measurement error models

Biørn, Erik - 2017

Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

Persistent link: https://www.econbiz.de/10011636052

Control variables, discrete instruments, and identification of structural functions

Newey, Whitney K.; Stouli, Sami - 2018

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...

Persistent link: https://www.econbiz.de/10011901534

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is first shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

Persistent link: https://www.econbiz.de/10014028913

A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs

Lee, Seojeong - 2015

Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). If a regression model is estimated by the two-stage least squares (2SLS) using multiple instruments, then 2SLS is consistent for a weighted average of different LATEs. In...

Persistent link: https://www.econbiz.de/10013030149

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/10010271942

The long-run effects of attending an elite school : evidence from the UK

Clark, Damon; Del Bono, Emilia - 2014

This paper estimates the impact of elite school attendance on long- run outcomes including completed education, income and fertility. Our data consists of individuals born in the 1950s and educated in a UK dis- trict that assigned students to either elite or non-elite secondary schools. Using...

Persistent link: https://www.econbiz.de/10010241305

The long-run effects of attending an elite school : evidence from the UK

Clark, Damon; Del Bono, Emilia - 2014

This paper estimates the impact of elite school attendance on long-run outcomes including completed education, income and fertility. Our data consists of individuals born in the 1950s and educated in a UK district that assigned students to either elite or non-elite secondary schools. Using...

Persistent link: https://www.econbiz.de/10010434599

Comparing IV with Structural Models: What Simple IV Can and Cannot Identify

Urzua, Sergio; Heckman, James J. - Geary Institute, University College Dublin - 2009

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...

Persistent link: https://www.econbiz.de/10005012096

Tests of hypotheses arising in the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel - 2010

This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance...

Persistent link: https://www.econbiz.de/10010274693

Linearity in instrumental variables estimation: Problems and solutions

Mogstad, Magne; Wiswall, Matthew - 2010

used tests for non-zero treatment effects, selection bias, and instrument validity. Next, we consider three applications …

Persistent link: https://www.econbiz.de/10010274706