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This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...
Persistent link: https://www.econbiz.de/10011300710
Currently there is little practical advice on which treatment effect estimator to use when trying to adjust for observable differences. A recent suggestion is to compare the performance of estimators in simulations that somehow mimic the empirical context. Two ways to run such "empirical Monte...
Persistent link: https://www.econbiz.de/10011912535
. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …
Persistent link: https://www.econbiz.de/10011997314
. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …
Persistent link: https://www.econbiz.de/10011871311
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...
Persistent link: https://www.econbiz.de/10010190476
A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...
Persistent link: https://www.econbiz.de/10015191457
(LS-MD) estimation method. -- dynamic panel ; interactive fixed effects ; measurement error ; LS-MD estimation …
Persistent link: https://www.econbiz.de/10009419307
Persistent link: https://www.econbiz.de/10003540212
We study identification and estimation of the average treatment effect in a correlated random coefficients model that …
Persistent link: https://www.econbiz.de/10010227690
nonparametric estimation of this function. The latter property is important because, owing to the ill-posed inverse problem, a test …
Persistent link: https://www.econbiz.de/10011350133