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Identification, instruments, omitted variables, and rudimentary models : fallacies in the "experimental approach" to econometrics
Biørn, Erik - 2017
Since identification, instrumental variables and variables exclusion, core concepts in econometrics, are entwined …, several questions arise: How is identification related to the existence of IVs? How are identification criteria related to …
Persistent link: https://www.econbiz.de/10011779245
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Nonparametric Identification in Structural Economic Models
Matzkin, Rosa L. - In: Annual Review of Economics 5 (2013) 1, pp. 457-486
provided ways to achieve identification of these primitive functions and distributions without imposing parametric restrictions … taken to develop nonparametric identification results in those models. …
Persistent link: https://www.econbiz.de/10010822971
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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain … latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of … Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011694188
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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain … latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of … Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011636052
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A note on specification testing in some structural regression models
Beckert, Walter - 2019
There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...
Persistent link: https://www.econbiz.de/10012146374
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A note on specification testing in some structural regression models
Beckert, Walter - 2019
There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...
Persistent link: https://www.econbiz.de/10012008229
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Efficient Inference with Time-Varying Identification Strength
Antoine, Bertille; Boldea, Otilia - Department of Economics, Simon Fraser University - 2014
models (e.g. for inflation, interest rates, or exchange rates) are subject to both parameter instability and identification … between them. Changes in identification strength provide an additional source of information that is used to improve …
Persistent link: https://www.econbiz.de/10010818165
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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
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Avoiding the Pitfalls of Instrumental Variables Estimation with Few or Many Instruments
Murray, Michael P. - 2011
Instrumental variables estimation can, in principle, avoid biases that ordinary least squares estimation suffers when explanatory variables are correlated with the disturbances. Finding appropriate instruments is a challenge. Ten strategies for avoiding invalid instruments (those correlated with...
Persistent link: https://www.econbiz.de/10013122905
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IV Quantile Regression for Group-Level Treatments, with an Application to the Effects of Trade on the Distribution of Wages
Chetverikov, Denis - 2013
We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor (1981). Standard quantile regression techniques are inconsistent in this setting, even...
Persistent link: https://www.econbiz.de/10013071528