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A new matrix statistic for the hausman endogeneity test under heteroskedasticity

Papadopoulos, Alecos - In: Econometrics : open access journal 11 (2023) 4, pp. 1-11

We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables … estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic …

Persistent link: https://www.econbiz.de/10014507912

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent … conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …

Persistent link: https://www.econbiz.de/10014636394

Estimating marginal treatment effects under unobserved group heterogeneity

Hoshino, Tadao; Yanagi, Takahide - In: Journal of Causal Inference 10 (2022) 1, pp. 197-216

Abstract This article studies the treatment effect models in which individuals are classified into unobserved groups based on heterogeneous treatment rules. By using a finite mixture approach, we propose a marginal treatment effect (MTE) framework in which the treatment choice and outcome...

Persistent link: https://www.econbiz.de/10014610924

Public debt and economic growth in sub-Saharan Africa : nonlinearity and threshold effects

Okwoche, Princewill U.; Makanza, Christine S. - In: Cogent economics & finance 11 (2023) 2, pp. 1-24

estimation techniques suitable for addressing the problems of endogeneity and cross-section dependence. The fixed effects …

Persistent link: https://www.econbiz.de/10014502811

Monetary policy, external instruments, and heteroskedasticity

Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 161-200

We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …

Persistent link: https://www.econbiz.de/10014308528

Identification of games of incomplete information with multiple equilibria and unobserved heterogeneity

Aguirregabiria, Victor; Mira, Pedro - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1659-1701

This paper deals with identification of discrete games of incomplete information when we allow for three types of unobservables: payoff‐relevant variables, both players' private information and common knowledge, and nonpayoff‐relevant variables that determine the selection between multiple...

Persistent link: https://www.econbiz.de/10012202889

Bullying among adolescents : the role of skills

Sarzosa, Miguel; Urzua, Sergio - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 945-980

Bullying cannot be tolerated as a normal social behavior portraying a child's life. This paper quantifies its negative consequences allowing for the possibility that victims and nonvictims differ in unobservable characteristics. To this end, we introduce a factor analytic model for identifying...

Persistent link: https://www.econbiz.de/10012598521

Secret reserve prices by uninformed sellers

Andreyanov, Pasha; Caoui, El Hadi - In: Quantitative economics : QE ; journal of the … 13 (2022) 3, pp. 1203-1256

If bidders are better informed than the seller about a common component of auction heterogeneity, the seller can allocate more efficiently by keeping her reserve price secret and revising it using submitted bids. We build a model of a first‐price auction under unobserved auction...

Persistent link: https://www.econbiz.de/10013382069

Antecedents of online purchase intention and behaviour: uncovering unobserved heterogeneity

Silva, Joaquim; Pinho, José Carlos; Soares, Ana; Sá, … - In: Journal of business economics and management 20 (2019) 1, pp. 131-148

The paper aims at exploring the antecedents of customers' online purchase intention and behaviour, and at uncovering sources of heterogeneity. A sample of customers was surveyed to measure perceived risk and benefits, trust, online purchase intention and behaviour. The study confirmed the causal...

Persistent link: https://www.econbiz.de/10012175004

Economic policy uncertainty and the co-movement between REITs and exchange rate

Raheem, Ibrahim D.; Fasanya, Ismail Olaleke; Hammed, … - In: Review of Economic Analysis : REA 14 (2022) 1, pp. 121-141

that nonlinearity is a very crucial factor to be put into consideration when examining the role of EPU in affecting the …

Persistent link: https://www.econbiz.de/10012886436