Nonlinear Estimation of Triangular Simultaneous Equations Models PDF Download
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Author: Whitney K. Newey
Publisher:
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Languages : en
Pages :
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Author: Whitney K. Newey
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Guido Imbens
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Book Description
This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices requires objective functions that are non-additive in observed and unobserved components. We formulate several independence and monotonicity conditions that are sufficient for identification of a number of objects of interest, including the average conditional response, the average structural function, as well as the full structural response function. For inference we propose a two-step series estimator. The first step consists of estimating the conditional distribution of the endogenous regressor given the instrument. In the second step the estimated conditional distribution function is used as a regressor in a nonlinear control function approach. We establish rates of convergence, asymptotic normality, and give a consistent asymptotic variance estimator.
Author: Whitney K. Newey
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Author: Whitney K. Newey
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Author: Anil K. BERA
Publisher:
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Category :
Languages : en
Pages :
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Publisher: CESAR PEREZ
ISBN: 1716260302
Category : Business & Economics
Languages : en
Pages : 168
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Author: Michio Hatanaka
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Author: Jeffrey M. Wooldridge
Publisher: MIT Press
ISBN: 0262296799
Category : Business & Economics
Languages : en
Pages : 1095
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Book Description
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author: James J. Heckman
Publisher: Elsevier
ISBN: 0444534288
Category : Business & Economics
Languages : en
Pages : 1057
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Author: Paulo Eduardo Oliveira
Publisher: Springer Science & Business Media
ISBN: 3642324185
Category : Mathematics
Languages : en
Pages : 270
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Book Description
Statistics has been a main tool in almost every field of activity and an essential part of applied scientific work, supporting conclusions and offering insights into new uses for established methodologies, thus making it a valuable resource in looking for faceless facts. Model construction describing populations or phenomena subject to randomness use a wide range of methods. Data collection provides the basis for modelling and assumption verification. Modelling must be conducted using suitable techniques that give researchers the means to search for hidden facts or behaviours. This may be addressed by fitting pre-defined shapes and distributions to the data or by allowing the data to reveal its intrinsic properties by using nonparametric methods. This volume contains a selection of contributions presented at the XVIII Annual Congress of the Portuguese Statistical Society.
