Showing 1 - 10 of 16
In this paper we introduce a family of semi-parametric estimators, suggested by Manski's minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic...
Persistent link: https://www.econbiz.de/10005762699
We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...
Persistent link: https://www.econbiz.de/10004990687
Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics...
Persistent link: https://www.econbiz.de/10004990775
We discuss some challenges presented by trending data in time series econometrics. To the empirical economist there is little guidance from theory about the source of trend behavior and even less guidance about practical formulations. Moreover, recent proximity theorems reveal that trends are...
Persistent link: https://www.econbiz.de/10005762691
Some exact distribution theory is developed for structural equation models with and without identities. The theory includes LIML, IV and OLS. We relate the new results to earlier studies in the literature, including the pioneering work of Bergstrom (1962). General IV exact distribution formulae...
Persistent link: https://www.econbiz.de/10005463867
This paper introduces a rank-based test for the instrumental variables regression model that dominates the Anderson-Rubin test in terms of finite sample size and asymptotic power in certain circumstances. The test has correct size for any distribution of the errors with weak or strong...
Persistent link: https://www.econbiz.de/10005463958
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests (and confidence intervals derived from tests) than estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...
Persistent link: https://www.econbiz.de/10004990694
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error...
Persistent link: https://www.econbiz.de/10005087361
This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...
Persistent link: https://www.econbiz.de/10005593166
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...
Persistent link: https://www.econbiz.de/10005593255