Search Results - subject:"Instrumental Variables."

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2011

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

Persistent link: https://www.econbiz.de/10010282842

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10010282856

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011

This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...

Persistent link: https://www.econbiz.de/10010282870

The Effect of Restrictive Bank Lending on Innovation: Evidence from a Financial Crisis

Kipar, Stefan - 2011

Using unique micro-data on German firms, this paper estimates the effect of restrictive bank lending on innovation. In the German three-pillar banking system, comprised of commercial banks, credit unions, and savings banks, firms were differently affected in their ability to raise external debt...

Persistent link: https://www.econbiz.de/10010285352

Threshold effects in the monetary policy reaction function of the Deutsche Bundesbank

Mandler, Martin - 2011

We estimate monetary policy reaction functions with threshold effects for the Deutsche Bundesbank using a real-time data set. Estimates based on the deviation of inflation from the Bundesbank's inflation target as threshold variable suggest a switch to a stronger output gap response in the...

Persistent link: https://www.econbiz.de/10010286409

An instrumental variable model of multiple discrete choice

Chesher, Andrew; Rosen, Adam; Smolinski, Konrad - 2011

incomplete. Instead the model employs instrumental variable restrictions requiring the existence of instrumental variables which …

Persistent link: https://www.econbiz.de/10010288307

Statistical inference on regression with spatial dependence

Robinson, Peter M.; Thawornkaiwong, Supachoke - 2011

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear …

Persistent link: https://www.econbiz.de/10010288343

Estimating structural mean models with multiple instrumental variables using the generalised method of moments

Clarke, Paul S.; Palmer, Tom M.; Windmeijer, Frank - 2011

Instrumental variables analysis using genetic markers as instruments is now a widely used technique in epidemiology and …-parametric models that use instrumental variables to identify causal parameters, but there has been little work on using these models …, multiplicative and logistic SMMs with multiple discrete instrumental variables can be estimated efficiently using the generalised …

Persistent link: https://www.econbiz.de/10010288356

Semiparametric structural models of binary response: Shape restrictions and partial identification

Chesher, Andrew - 2011

The paper studies the partial identifying power of structural single equation threshold crossing models for binary responses when explanatory variables may be endogenous. The paper derives the sharp identified set of threshold functions for the case in which explanatory variables are discrete...

Persistent link: https://www.econbiz.de/10010288364

Confidence sets based on inverting Anderson-Rubin tests

Davidson, Russell; MacKinnon, James G. - 2011

Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The AR confidence sets that result have correct coverage under...

Persistent link: https://www.econbiz.de/10010290355