Download or read book Limited Dependent and Qualitative Variables in Econometrics written by G. S. Maddala and published by Cambridge University Press. This book was released on 1986-06-27 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical (those for which a suitable category can be found but where no actual measurement exists) or truncated (those that can be observed only in certain ranges). Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling. Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author.
Download or read book Estimating Autocorrelations in Fixed effects Models written by Gary Solon and published by . This book was released on 1984 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the estimation of serial correlation in fixed effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of the time series goes to infinity, are not consistent for a short time series as the size of the cross-section goes to infinity. This form of inconsistency is of particular concern because a short time series of a large cross-section is the typical case in longitudinal data. This paper extends Nickell's method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first-order autocorrelations and to error processes other than first-order autoregressions. The paper also presents statistical tables that facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an alternative method due to MaCurdy. Finally, the paper uses Monte Carlo methods to explore the finite-sample properties of both methods.
Download or read book Western Journal of Agricultural Economics written by and published by . This book was released on 1986 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometric Analysis written by William H. Greene and published by . This book was released on 1997 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Directions in Spatial Econometrics written by Luc Anselin and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The promising new directions for research and applications described here include alternative model specifications, estimators and tests for regression models and new perspectives on dealing with spatial effects in models with limited dependent variables and space-time data.
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 1983 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robust Estimation Based on Grouped adjusted Data written by Kazumitsu Nawata and published by . This book was released on 1986 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 2002 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Consistent Estimation Using Data from More Than One Sample written by William T. Dickens and published by . This book was released on 1984 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the estimation of linear models when group average data from more than one sample is used. Conditions under which OL8 coefficient estimates are consistent are identified. The standard OL8 covariance estimate is shown to be inconsistent and a consistent estimator is proposed. Finally, since the conditions under which OL8 is consistent are quite restrictive, several estimators which are consistent in many cases where OL8 is not are developed. The large sample distribution properties and an estimator for the asymptotic covariance matrix for the most general of these alternative estimators is also presented. One important application of these findings is to estimating compensating wage differences. Past authors, beginning with Thaler and Rosen (1976) have argued that finer classification schemes would reduce errors-in-variable bias. The analysis presented here suggests that the opposite is true if finer classification results in fewer observations per classification. This could explain why authors using the broader (industry) classification schemes have found larger compensating differences and suggests that these estimates may be closer to the true values.
Download or read book Consistent Estimation Data from More Than One Sample written by William T. Dickens and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1985 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Generalized Linear Models for Bounded and Limited Quantitative Variables written by Michael Smithson and published by SAGE Publications. This book was released on 2019-09-09 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces researchers and students to the concepts and generalized linear models for analyzing quantitative random variables that have one or more bounds. Examples of bounded variables include the percentage of a population eligible to vote (bounded from 0 to 100), or reaction time in milliseconds (bounded below by 0). The human sciences deal in many variables that are bounded. Ignoring bounds can result in misestimation and improper statistical inference. Michael Smithson and Yiyun Shou′s book brings together material on the analysis of limited and bounded variables that is scattered across the literature in several disciplines, and presents it in a style that is both more accessible and up-to-date. The authors provide worked examples in each chapter using real datasets from a variety of disciplines. The software used for the examples include R, SAS, and Stata. The data, software code, and detailed explanations of the example models are available on an accompanying website.
Download or read book Pitfalls in the Use of Time as an Explanatory Variable in Regression written by Charles R. Nelson and published by . This book was released on 1983 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression of a trendless random walk on time produces R-squared values around .44 regardless of sample length. The residuals from the regression exhibit only about 14 percent as much variation as the original series even though the underlying process has no functional dependence on time. The autocorrelation structure of these "detrended" random walks is pseudo-cyclical and purely artifactual. Conventional tests for trend are strongly biased towards finding a trend when none is present, and this effect is only partially mitigated by Cochrane-Orcutt correction for autocorrelation. The results are extended to show that pairs of detrended random walks exhibit spurious correlation
Download or read book Methods of Solution and Simulation for Dynamic Rational Expectations Models written by Olivier J. Blanchard and published by . This book was released on 1983 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many methods have been proposed for the solution and simulation of medium or large size models under the assumption of rational expectations. The purpose of this paper is to present these methods, and to show how and where each can be applied. The methods fall into two groups. Methods in the first can be used to solve for perfect foresight paths in non-linear models. Methods in the second can be used in linear models, to solve either for paths or processes followed by endogenous variables. All the methods described here have been used in empirical applications and computer algorithms are available for most.
Download or read book Errors in Variables in Panel Data written by Zvi Griliches and published by . This book was released on 1984 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel data based on various longitudinal surveys have become ubiquitous in economics in recent years. Estimation using the analysis of covariance approach allows for control of various "individual effects" by estimation of the relevant relationships from the "within" dimension of the data. Quite often, however, the "within" results are unsatisfactory, "too low" and insignificant. Errors of measurement in the independent variables whose relative importance gets magnified in the within dimension are often blamed for this outcome. However, the standard errors-in-variables model has not been applied widely, partly because in the usual micro data context it requires extraneous information to identify the parameters of interest. In the panel data context a variety of errors-in-variables models may be identifiable and estimable without the use of external instruments. We develop this idea and illustrate its application in a relatively simple but not uninteresting case: the estimation of "labor demand" relationships, also known as the "short run increasing returns to scale" puzzle.
Download or read book New Econometric Techniques for Macroeconomic Policy Evaluation written by John B. Taylor and published by . This book was released on 1984 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Crowding out and Incentive Effect of Tax Under the Impure Altruism Model written by Ki-Baeg Park and published by . This book was released on 1992 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
