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On the sensitivity of return to schooling estimates to estimation methods, model specification, and influential outliers if identification is weak

Jaeger, David A.; Parys, Juliane - 2009

We provide a comparison of return to schooling estimates based on an influential study by Angrist and Krueger (1991) using two stage least squares (TSLS), limited information maximum likelihood (LIML), jackknife (JIVE), and split sample instrumental variables (SSIV) estimation. We find that the...

Persistent link: https://www.econbiz.de/10010269280

Are labor force participation rates really non-stationary? Evidence from three OECD countries

Ozdemir, Zeynel Abidin; Balcilar, Mehmet; Tansel, Aysit - 2012

This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...

Persistent link: https://www.econbiz.de/10010283936

International financial integration and Real Exchange Rate long-run dynamics in emerging countries: some panel evidence

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10010271575

Instrumental variables estimation with partially missing instruments

Mogstad, Magne; Wiswall, Matthew - 2010

We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the...

Persistent link: https://www.econbiz.de/10010269473

How much should we trust linear instrumental variables estimators? An application to family size and children's education

Mogstad, Magne; Wiswall, Matthew - 2009

Many empirical studies specify outcomes as a linear function of endogenous regressors when conducting instrumental variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are biased if the true relationship is non-linear. These...

Persistent link: https://www.econbiz.de/10010269608

Using Matching, Instrumental Variables and Control Functions to Estimate Economic Choice Models

Heckman, James Joseph; Navarro-Lozano, Salvador - 2003

This paper investigates four topics. (1) It examines the different roles played by the propensity score (probability of selection) in matching, instrumental variable and control functions methods. (2) It contrasts the roles of exclusion restrictions in matching and selection models. (3) It...

Persistent link: https://www.econbiz.de/10010274216

Comparing IV with structural models: what simple IV can and cannot identify

Heckman, James Joseph; Urzúa, Sergio - 2009

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...

Persistent link: https://www.econbiz.de/10010274254

MIMIC models, cointegration and error correction: an application to the French shadow economy

Bühn, Andreas; Schneider, Friedrich G. - 2008

structures. As most macroeconomic variables do not satisfy stationarity, long run information is lost when employing first … differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

Persistent link: https://www.econbiz.de/10010276685

Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

Persistent link: https://www.econbiz.de/10010261819

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124