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Colella, Fabrizio; Lalive, Rafael; Sakalli, Seyhun Orcan; … - 2019

Analyses of spatial or network data are now very common. Nevertheless, statistical inference is challenging since unobserved heterogeneity can be correlated across neighboring observational units. We develop an estimator for the variance-covariance matrix (VCV) of OLS and 2SLS that allows for...

Persistent link: https://www.econbiz.de/10012102134

On heckits, LATE, and numerical equivalence

Kline, Patrick; Walters, Christopher R. - 2018

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

Persistent link: https://www.econbiz.de/10011825221

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2010

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10008668814

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2011

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

Persistent link: https://www.econbiz.de/10009130515

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011 - Rev.

This paper derives the limiting distributions of alternative jackknife IV (J IV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10009130708

Select the Valid and Relevant Moments : An Information-Based LASSO for GMM with Many Moments

Cheng, Xu - 2013

This paper studies the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013074163

Select the Valid and Relevant Moments : A One-Step Procedure for GMM with Many Moments

Cheng, Xu - 2013

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis ccommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013089571

Select the Valid and Relevant Moments : A One-Step Procedure for GMM with Many Moments

Cheng, Xu - 2016

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013007811

Instrument-free identification and estimation of differentiated products models using cost data

Byrne, David P.; Imai, Susumu; Jain, Neelam; Sarafidis, … - In: Journal of econometrics 228 (2022) 2, pp. 278-301

Persistent link: https://www.econbiz.de/10013441750

Identification in Differentiated Products Markets

Berry, Steven - 2015

Empirical models of demand for -- and, often, supply of -- differentiated products are widely used in practice … identification in a broad class of such models. This work shows that parametric functional forms and distributional assumptions are … not essential for identification. Rather, identification relies primarily on the standard requirement that instruments be …

Persistent link: https://www.econbiz.de/10013017351