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Historical instruments and contemporary endogenous regressors

Casey, Gregory; Klemp, Marc P. B. - 2020

estimate the long-run effect of the endogenous variable. We use our bias correction method to examine the role of institutions …

Persistent link: https://www.econbiz.de/10012318578

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355167

GEL methods for nonsmooth moment indicators

Parente, Paulo (contributor); Smith, Richard J. (contributor) - 2008

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...

Persistent link: https://www.econbiz.de/10003739699

A comparison of bias approximations for the 2SLS estimator

Bun, Maurice J. G.; Windmeijer, Frank - 2011

Persistent link: https://www.econbiz.de/10010190657

Almost unbiased variance estimation in simultaneous equation models

Phillips, Garry D. A.; Xu, Yongdeng - 2016

the 2SLS and the MLIML estimators.The approximations to the bias are then used to develop less biased estimators whose …

Persistent link: https://www.econbiz.de/10011688506

Regularization and Confounding in Linear Regression for Treatment Effect Estimation

Hahn, P. Richard - 2018

“regularization-induced confounding” is introduced, which refers to the tendency of regularization priors to adversely bias treatment …

Persistent link: https://www.econbiz.de/10012936513

Bayesian Regression Tree Models for Causal Inference : Regularization, Confounding, and Heterogeneous Effects

Hahn, P. Richard - 2018

This paper develops a semi-parametric Bayesian regression model for estimating heterogeneous treatment effects from observational data. Standard nonlinear regression models, which may work quite well for prediction, can yield badly biased estimates of treatment effects when fit to data with...

Persistent link: https://www.econbiz.de/10012932596

Automatic Inference of the Contemporaneous Causal Order of a System of Equations

Hoover, Kevin D. - 2008

David Hendry and Hans-Martin Krolzig have demonstrated that PCGets, an automatic model selection algorithm that implements general-to-specific search procedures, can be successfully applied to the individual equations of vector autoregressions (VARs), provided that the contemporaneous causal...

Persistent link: https://www.econbiz.de/10014072333

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML … estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the … those for the SLD model in terms of the rate of convergence and the magnitude of bias. Monte Carlo results show that the …

Persistent link: https://www.econbiz.de/10011297624

Estimating the Price Elasticity of Beer : Meta-Analysis of Data with Heterogeneity, Dependence, and Publication Bias

Nelson, Jon P. - 2013

average beer elasticities for heterogeneity, dependence, and publication selection bias. A sample of 191 estimates is obtained … estimates per study, author-restricted samples, and author-specific variables. Publication bias is addressed using a funnel … graph, trim-and-fill, and Egger's intercept model. Heterogeneity and selection bias are examined jointly in meta …

Persistent link: https://www.econbiz.de/10013088581