Search Results - subject:"Instrumental Variables."

Treatment Effect Heterogeneity in Theory and Practice

Angrist, Joshua D. - 2003

Instrumental Variables (IV) methods identify internally valid causal effects for individuals whose treatment status is …

Persistent link: https://www.econbiz.de/10012468990

Economic Effects of Currency Unions

Tenreyro, Silvana - 2003

This paper develops a new instrumental-variable (IV) approach to estimate the effects of different exchange rate regimes on bilateral outcomes. The basic idea is that the characteristics of the exchange rate regime between two countries (exchange rate variability, fixed or float, autonomous or...

Persistent link: https://www.econbiz.de/10012469268

Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects

Hahn, Jinyong; Hausman, Jerry A.; Kuersteiner, Guido M. - 2003

This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed … is approximately achieving the minimal bias in a certain class of instrumental variables (IV) estimators. Simulation …

Persistent link: https://www.econbiz.de/10014127900

Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors : Simple Strategies for Empirical Practice

Angrist, Joshua D. - 2003

Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index...

Persistent link: https://www.econbiz.de/10014150199

Detecting Lack of Identification in GMM

Wright, Jonathan H. - 2003

In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated … instrumental variables estimator. Because of the crucial role of this identification condition, it is common to test for instrument … linear instrumental variables model is a special case. But I know of no means, in the existing literature, of testing for …

Persistent link: https://www.econbiz.de/10014150345

Efficiency IV Estimation for Autoregressive Models with Conditional Heterogeneity

Kuersteiner, Guido M. - 2003

the construction of efficient semiparametric instrumental variables estimators for the autoregressive parameters. The …

Persistent link: https://www.econbiz.de/10014151482

Optimal Instrumental Variables Estimation for Arma Models

Kuersteiner, Guido M. - 2003

In this paper a new class of Instrumental Variables estimator for linear processes and in particular ARMA models is …

Persistent link: https://www.econbiz.de/10014151483

Economic Effects of Currency Unions

Tenreyro, Silvana; Barro, Robert J. - 2003

Persistent link: https://www.econbiz.de/10014094927

Identification, Weak Instruments, and Statistical Inference in Econometrics

Dufour, Jean-Marie - 2003

We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non-parametric models and weakly identified structural models (weak instruments). We point out that many ill-defined statistical problems, such as non-testable...

Persistent link: https://www.econbiz.de/10014074912

Tests for Endogeneity and Instrument Suitability

Dhrymes, Phoebus J. - 2003

This paper deals with two alternatives to the so-called Hausman test for the exogeneity of instruments, in the context of a model where one or more explanatory variables are possibly correlated with the structural error. These two alternatives are at least as good or better than the Hausman test...

Persistent link: https://www.econbiz.de/10014075112