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Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

Persistent link: https://www.econbiz.de/10013232767

Exchange Rates and Local Labor Markets

Goldberg, Linda S.; Tracy, Joseph S. - 2000

We document the consequences of real exchange rate movements for the employment, hours, and hourly earnings of workers in manufacturing industries across individual states. Exchange rates have statistically significant wage and employment implications in these local labor markets. The importance...

Persistent link: https://www.econbiz.de/10014193865

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H.; Wright, Jonathan H. - 2022

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

Persistent link: https://www.econbiz.de/10014158848

Using Weights to Adjust for Sample Selection When Auxiliary Information is Available

Nevo, Aviv - 2001

Dutch Transportation Panel, in which refreshment draws were taken from the population of interest in order to deal with … heavy attrition of the original panel. I show how these additional samples can be used to adjust for sample selection …

Persistent link: https://www.econbiz.de/10014122994

Estimation of Causal Effects in Experiments with Multiple Sources of Noncompliance

Engberg, John Barker; Epple, Dennis N.; Imbrogno, Jason; … - 2021

The purpose of this paper is to study identification and estimation of causal effects in experiments with multiple sources of noncompliance. This research design arises in many applications in education when access to oversubscribed programs is partially determined by randomization. Eligible...

Persistent link: https://www.econbiz.de/10013218738

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig; Eichenbaum, Martin S. - 2021

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10013224900

The Incidence of Local Labor Demand Shocks

Notowidigdo, Matthew - 2011

Low-skill workers are comparatively immobile: when labor demand slumps in a city, low-skill workers are disproportionately likely to remain to face declining wages and employment. This paper estimates the extent to which (falling) housing prices and (rising) social transfers can account for this...

Persistent link: https://www.econbiz.de/10013123308

Estimation of a Dynamic Model of Weight

Ng, Shu Wen - 2010

, drinking, and smoking on weight. We apply a dynamic panel system GMM estimation model to longitudinal (1991-2006) data from …

Persistent link: https://www.econbiz.de/10013145239

Bartik Instruments : What, When, Why, and How

Goldsmith-Pinkham, Paul - 2018

The Bartik instrument is formed by interacting local industry shares and national industry growth rates. We show that the typical use of a Bartik instrument assumes a pooled exposure research design, where the shares measure differential exposure to common shocks, and identification is based on...

Persistent link: https://www.econbiz.de/10012924475

Moment Inequalities and Partial Identification in Industrial Organization

Kline, Brendan; Pakes, Ariel; Tamer, Elie T. - 2023

We review approaches to identification and inference on models in Industrial Organization with partial identification and/or moment inequalities. Often, such approaches are intentionally built directly on assumptions of optimizing behavior that are credible in Industrial Organization settings,...

Persistent link: https://www.econbiz.de/10014356942