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Measurement error in imputation procedures
Campos, Rodolfo G.; Reggio, Iliana - 2013
imputan datos de consumo desde CEX a PSID ; We study how estimators used to impute consumption in survey data are inconsistent … due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We … show that, if additional regressors are present, then instrumenting consumption may still produce inconsistent estimators …
Persistent link: https://www.econbiz.de/10012530432
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Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects
Cui, Guowei; Norkute, Milda; Sarafidis, Vasilis; … - 2020
This paper puts forward a new instrumental variables (IV) approach for linear panel data models with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...
Persistent link: https://www.econbiz.de/10015218349
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Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data
Doko Tchatoka, Firmin; Wang, Wenjie - 2021
Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on...
Persistent link: https://www.econbiz.de/10015236021
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Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data
Doko Tchatoka, Firmin; Wang, Wenjie - 2021
Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on...
Persistent link: https://www.econbiz.de/10015261285
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Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data
Doko Tchatoka, Firmin; Wang, Wenjie - 2021
Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables to decide whether the ordinary least squares or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on the outcome...
Persistent link: https://www.econbiz.de/10015261295
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Instrument-free inference under confined regressor endogeneity; derivations and applications
Kiviet, Jan - 2019
A fully-fledged alternative to Two-Stage Least-Squares (TSLS) inference is developed for general linear models with endogenous regressors. This alternative approach does not require the adoption of external instrumental variables. It generalizes earlier results which basically assumed all...
Persistent link: https://www.econbiz.de/10015265552
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Causes of haze and its health effects in Singapore; a replication study
Kiviet, Jan - 2019
Intermittently Singapore suffers from severe air pollution in periods of intense forest and peatland fires on neighboring South-Asian islands. A recent American Economic Review article modeled the causal relationships between fire intensity in Indonesia and air pollution (PSI) in Singapore, and...
Persistent link: https://www.econbiz.de/10015265609
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On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test
Wang, Wenjie - 2020
Bootstrap procedures based on instrumental variable (IV) estimates or t-statistics are generally invalid when the instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference based on the Anderson-Rubin (AR) statistic, Wang and...
Persistent link: https://www.econbiz.de/10015266848
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Uniform Inference after Pretesting for Exogeneity
Doko Tchatoka, Firmin; Wang, Wenjie - 2020
Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test– based on...
Persistent link: https://www.econbiz.de/10015266916
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Size-Corrected Wild Bootstrap Tests after Pretesting for Exogeneity with Heteroskedastic or Clustered Data
Doko Tchatoka, Firmin; Wang, Wenjie - 2023
Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables to decide whether the ordinary least squares or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on the outcome...
Persistent link: https://www.econbiz.de/10015271170