Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity PDF Download
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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: 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: 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:
Publisher: CESAR PEREZ
ISBN: 1716260302
Category : Business & Economics
Languages : en
Pages : 168
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Book Description
Author: James J. Heckman
Publisher: Elsevier
ISBN: 0444534288
Category : Business & Economics
Languages : en
Pages : 1057
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Book Description
Author: Paulo Eduardo Oliveira
Publisher: Springer Science & Business Media
ISBN: 3642324193
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.
Author: Harvey Motulsky
Publisher: Oxford University Press
ISBN: 9780198038344
Category : Mathematics
Languages : en
Pages : 352
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Book Description
Most biologists use nonlinear regression more than any other statistical technique, but there are very few places to learn about curve-fitting. This book, by the author of the very successful Intuitive Biostatistics, addresses this relatively focused need of an extraordinarily broad range of scientists.
Author: Zvi Griliches
Publisher: Elsevier
ISBN: 0444532005
Category : Business & Economics
Languages : en
Pages : 1057
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Book Description
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.
Author: R. Carter Hill
Publisher: Emerald Group Publishing
ISBN: 1785607863
Category : Business & Economics
Languages : en
Pages : 680
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Book Description
Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career.
Author: Qi Li
Publisher: Emerald Group Publishing
ISBN: 1849506248
Category : Business & Economics
Languages : en
Pages : 570
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Book Description
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Author: John Eatwell
Publisher: W. W. Norton & Company
ISBN: 9780393958560
Category : Business & Economics
Languages : en
Pages : 306
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Book Description
"First published in the New Palgrave: a dictionary of economics ... in four volumes, 1987"--T.p. verso. Includes bibliographical references.
