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Book Revisiting Instrumental Variables and the Classic Control Function Approach with Implications for Parametric and Non Parametric Regressions

Download or read book Revisiting Instrumental Variables and the Classic Control Function Approach with Implications for Parametric and Non Parametric Regressions written by Kyoo il Kim and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the well-known numerical equivalence between two-stage least squares (2SLS) and the classic control function (CF) estimator raises an interesting and unrecognized puzzle. The classic CF approach maintains that the regression error is mean independent of the instruments conditional on the CF control, which is not required by 2SLS, and could easily be violated. We show that the classic CF estimator can be modified to allow the mean of the error to depend in a general way on the instruments and control by adding the unconditional moment restrictions maintained by 2SLS. In this case 2SLS and our generalized CF estimator are no longer numerically equivalent, although asymptotically both converge to the true value. We then show that our generalized CF estimator is consistent in parametric or non-parametric settings with endogenous regressors and additive errors. For example, our estimator is consistent when the conditional mean of the error depends on the instruments while the nonparametric estimator of Newey, Powell, and Vella (1999) based on the classic CF restriction is not. Our new approach is also not subject to the ill-posed inverse problem that affects the non-parametric estimator of Newey and Powell (2003). Our estimator is easy to implement in standard programming packages - it is a multi-step least squares estimator - and our monte carlos show that our new estimator performs well while the classical CF estimator and the non-parametric analog of Newey, Powell, and Vella (1999) can be biased in non-linear settings when the conditional mean of the error depends on the instruments.

Book Revisiting Instrumental Variables and the Clasc Control Function Approach with Implications for Parametric and Non parametric Regressions

Download or read book Revisiting Instrumental Variables and the Clasc Control Function Approach with Implications for Parametric and Non parametric Regressions written by Kyoo il Kim and published by . This book was released on 2011 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Micro Econometrics

Download or read book Micro Econometrics written by Myoung-jae Lee and published by Springer Science & Business Media. This book was released on 2009-09-28 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers

Book Nonparametric Statistics

Download or read book Nonparametric Statistics written by Ricardo Cao and published by Springer. This book was released on 2016-09-12 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects selected, peer-reviewed contributions from the 2nd Conference of the International Society for Nonparametric Statistics (ISNPS), held in Cádiz (Spain) between June 11–16 2014, and sponsored by the American Statistical Association, the Institute of Mathematical Statistics, the Bernoulli Society for Mathematical Statistics and Probability, the Journal of Nonparametric Statistics and Universidad Carlos III de Madrid. The 15 articles are a representative sample of the 336 contributed papers presented at the conference. They cover topics such as high-dimensional data modelling, inference for stochastic processes and for dependent data, nonparametric and goodness-of-fit testing, nonparametric curve estimation, object-oriented data analysis, and semiparametric inference. The aim of the ISNPS 2014 conference was to bring together recent advances and trends in several areas of nonparametric statistics in order to facilitate the exchange of research ideas, promote collaboration among researchers from around the globe, and contribute to the further development of the field.

Book Nonparametric Econometric Methods and Application

Download or read book Nonparametric Econometric Methods and Application written by Thanasis Stengos and published by MDPI. This book was released on 2019-05-20 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.

Book Microeconometrics

Download or read book Microeconometrics written by Steven Durlauf and published by Springer. This book was released on 2016-06-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Book Nonparametric Instrumental Regression

Download or read book Nonparametric Instrumental Regression written by Serge Darolles and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions stemming from a structural econometric model: E [Y - f (Z) | W] = 0, and involving endogenous variables Y and Z and instruments W. The function f is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyses identification and overidentification of this model and presents asymptotic properties of the estimated nonparametric instrumental regression function.

Book Revisiting Instrumental Variables and the Classic Control Function Approach with Implications for Parametric and Non Parametric Regressions

Download or read book Revisiting Instrumental Variables and the Classic Control Function Approach with Implications for Parametric and Non Parametric Regressions written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Endogeneity in Semiparametric Threshold Regression

Download or read book Endogeneity in Semiparametric Threshold Regression written by Andros Kourtellos and published by . This book was released on 2017 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate semiparametric threshold regression models with endogenous threshold variables based on a nonparametric control function approach. Using a series approximation we propose a two-step estimation method for the threshold parameter. For the regression coefficients, we consider least-squares estimation in the case of exogenous regressors and two-stage least-squares estimation in the case of endogenous regressors. We show that our estimators are consistent and derive their asymptotic distribution for weakly dependent data. Furthermore, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effect is zero or not. Finally, we assess the performance of our methods using a Monte Carlo simulation.

Book Essays in Honor of Subal Kumbhakar

Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

Book Microeconometrics

Download or read book Microeconometrics written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2005-05-09 with total page 1058 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.

Book Nonparametric Econometrics

Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2011-10-09 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.

Book Testing Exogeneity

Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.