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Estimation of Causal Effects with a Binary Treatment Variable: A Unified M-Estimation Framework 二元处理变量的因果效应估计：统一的 M 估计框架
Journal of Econometric Methods Pub Date : 2024-01-17 DOI: 10.1515/jem-2020-0021
Derya Uysal
{"title":"Estimation of Causal Effects with a Binary Treatment Variable: A Unified M-Estimation Framework","authors":"Derya Uysal","doi":"10.1515/jem-2020-0021","DOIUrl":"https://doi.org/10.1515/jem-2020-0021","url":null,"abstract":"Abstract In this paper, we review several estimators of the average treatment effect (ATE) that belong to three main groups: regression, weighting and doubly robust methods. We unify the exposition of these estimators within an M-estimation framework and we derive their variance estimators from the sandwich form variance-covariance matrix of the M-Estimator. Additionally, we re-estimate the causal return to higher education on earnings by the reviewed methods using the rich dataset provided by the British National Child Development Study (NCDS) as an empirical illustration.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"61 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139527032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Introduction to Latent Variable Estimation for Undergraduate Econometrics: An Application with Disney Theme Park Ride Wait Times 计量经济学本科生潜在变量估计入门：迪斯尼主题公园游乐设施等待时间的应用
Journal of Econometric Methods Pub Date : 2023-12-25 DOI: 10.1515/jem-2023-0030
Jonathan James
{"title":"Introduction to Latent Variable Estimation for Undergraduate Econometrics: An Application with Disney Theme Park Ride Wait Times","authors":"Jonathan James","doi":"10.1515/jem-2023-0030","DOIUrl":"https://doi.org/10.1515/jem-2023-0030","url":null,"abstract":"Abstract This paper describes a simple and interesting application of structural equation modeling for a single lecture in an undergraduate econometrics course to introduce students to the concept of using data to recover latent variables. The application centers around using hourly observations on ride wait times at Disney’s Magic Kingdom to infer how crowded it is at the theme park. Pedagogically, the material is presented in the context of the linear regression model, so the discussion works to enhance students’ understanding of core material, not to introduce new disparate methods. The application provides interesting economic-based insights, like which ride’s wait times are categorically most informative about how crowded it is at the park.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"46 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138943835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Health Behavior Change After Diagnosis? Evidence From Fuzzy Regression Discontinuity 诊断后健康行为会改变吗？模糊回归不连续的证据
Journal of Econometric Methods Pub Date : 2023-12-04 DOI: 10.1515/jem-2022-0008
Xiao Huang, Zhaoguo Zhan
{"title":"Does Health Behavior Change After Diagnosis? Evidence From Fuzzy Regression Discontinuity","authors":"Xiao Huang, Zhaoguo Zhan","doi":"10.1515/jem-2022-0008","DOIUrl":"https://doi.org/10.1515/jem-2022-0008","url":null,"abstract":"Abstract We investigate whether receiving health information changes human behavior by using a novel approach to inference in the fuzzy regression discontinuity design. The approach is robust to the strength of identification and allows for mean squared error optimal bandwidths as well as undersmoothing. It is based on the Anderson-Rubin test in the instrumental variable literature augmented with either robust bias correction or critical value adjustment. We find that the resulting confidence sets of the treatment effect are mostly wide or even unbounded. These findings indicate that we could not rule out most magnitudes of behavior change, including zero and non-zero ones.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"30 47","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138601876","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Matching on Noise: Finite Sample Bias in the Synthetic Control Estimator 噪声匹配:合成控制估计器中的有限样本偏差
Journal of Econometric Methods Pub Date : 2023-10-30 DOI: 10.1515/jem-2021-0019
Joseph Cummins, Douglas L. Miller, Brock Smith, David Simon
{"title":"Matching on Noise: Finite Sample Bias in the Synthetic Control Estimator","authors":"Joseph Cummins, Douglas L. Miller, Brock Smith, David Simon","doi":"10.1515/jem-2021-0019","DOIUrl":"https://doi.org/10.1515/jem-2021-0019","url":null,"abstract":"Abstract We investigate the properties of a systematic bias that arises in the synthetic control estimator in panel data settings with finite pre-treatment periods, offering intuition and guidance to practitioners. The bias comes from matching to idiosyncratic error terms (noise) in the treated unit and the donor units’ pre-treatment outcome values. This in turn leads to a biased counterfactual for the post-treatment periods. We use Monte Carlo simulations to evaluate the determinants of the bias in terms of error term variance, sample characteristics and DGP complexity, providing guidance as to which situations are likely to yield more bias. We also offer a procedure to reduce the bias using a direct computational bias-correction procedure based on re-sampling from a pilot model that can reduce the bias in empirically feasible implementations. As a final potential solution, we compare the performance of our corrections to that of an Interactive Fixed Effects model. An empirical application focused on trade liberalization indicates that the magnitude of the bias may be economically meaningful in a real world setting.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"34 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136018905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonparametric Instrumental Regression with Two-Way Fixed Effects 具有双向固定效应的非参数工具回归
Journal of Econometric Methods Pub Date : 2023-10-05 DOI: 10.1515/jem-2022-0025
Enrico De Monte
{"title":"Nonparametric Instrumental Regression with Two-Way Fixed Effects","authors":"Enrico De Monte","doi":"10.1515/jem-2022-0025","DOIUrl":"https://doi.org/10.1515/jem-2022-0025","url":null,"abstract":"Abstract This paper proposes a novel estimator for nonparametric instrumental regression while controlling for additive two-way fixed effects. In particular, the Landweber–Fridman regularization, to overcome the ill-posed inverse problem in the nonparametric instrumental regression procedure, is combined with the local-within two-ways fixed effect estimator presented by Lee, Y., D. Mukherjee, and A. Ullah. (2019. “Nonparametric Estimation of the Marginal Effect in Fixed-Effect Panel Data Models.” Journal of Multivariate Analysis 171: 53–67). Compared to other estimators in this context, an appealing feature is its flexible applicability with respect to different panel model specifications, i.e. models comprising either individual, temporal, or two-way fixed effects. The estimator’s performance is tested on simulated data, where a Monte Carlo study reveals good finite sample behaviour. Confidence intervals are provided by applying the wild bootstrap.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"300 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134948093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Neglected Heterogeneity, Simpson’s Paradox, and the Anatomy of Least Squares 被忽视的异质性、辛普森悖论和最小二乘解析
Journal of Econometric Methods Pub Date : 2023-08-03 DOI: 10.1515/jem-2023-0028
R. Winkelmann
{"title":"Neglected Heterogeneity, Simpson’s Paradox, and the Anatomy of Least Squares","authors":"R. Winkelmann","doi":"10.1515/jem-2023-0028","DOIUrl":"https://doi.org/10.1515/jem-2023-0028","url":null,"abstract":"Abstract When a sample combines data from two or more groups, multivariate regression yields a matrix-weighted average of the group-specific coefficient vectors. However, it is possible that the weighted average of a specific coefficient falls outside the range of the group-specific coefficients, and it may even have a different sign compared to both group-level coefficients, a manifestation of Simpson’s paradox. The result of the combined regression is then prone to misinterpretation. The purpose of this paper is to raise awareness of this problem and to state conditions under which such non-convex weighting or sign reversal can arise, for a model with two regressors and two groups. Two illustrative examples, an investment equation estimated with panel data, and a cross-sectional earnings equation for men and women, highlight the relevance of these findings for applied work.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"0 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41658439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach 未知形式异方差存在下的估计：一种基于Lasso的方法
Journal of Econometric Methods Pub Date : 2023-05-15 DOI: 10.1515/jem-2023-0007
Emilio González-Coya, Pierre Perron
{"title":"Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach","authors":"Emilio González-Coya, Pierre Perron","doi":"10.1515/jem-2023-0007","DOIUrl":"https://doi.org/10.1515/jem-2023-0007","url":null,"abstract":"Abstract We study the Feasible Generalized Least-Squares (FGLS) estimation of the parameters of a linear regression model in the presence of heteroskedasticity of unknown form in the errors. We suggest a Lasso based procedure to estimate the skedastic function of the residuals. The advantage of using Lasso is that it can handle a large number of potential covariates, yet still yields a parsimonious specification. Using extensive simulation experiments, we show that our suggested procedure always provide some improvements in the precision of the parameter of interest (lower Mean-Squared Errors) when heteroskedasticity is present and is equivalent to OLS when there is none. It also performs better than previously suggested procedures. Since the fitted value of the skedastic function falls short of the true specification, we form confidence intervals using a bias-corrected version of the usual heteroskedasticity-robust covariance matrix estimator. These have the correct size and substantially shorter length than when using OLS. Our method is applicable to both cross-section (with a random sample) and time series models, though here we concentrate on the former.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46629637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices 识别大维因子模型中常见和特殊的爆炸行为及其在美国州房价中的应用
Journal of Econometric Methods Pub Date : 2023-03-14 DOI: 10.1515/jem-2022-0017
Tetsushi Horie, Yohei Yamamoto
{"title":"Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices","authors":"Tetsushi Horie, Yohei Yamamoto","doi":"10.1515/jem-2022-0017","DOIUrl":"https://doi.org/10.1515/jem-2022-0017","url":null,"abstract":"Abstract This study applies the date-stamping methodologies for explosive behaviors proposed in the seminal work of Phillips, P. C. B., and J. Yu. (2011. “Dating the Timeline of Financial Bubbles during the Subprime Crisis.” Quantitative Economics 2 (3): 455–91), Phillips, P. C. B., S. Shi, and J. Yu. (2015a. “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500.” International Economic Review 56 (4): 1043–78), and Phillips, P. C. B., S. Shi, and J. Yu. (2015b. “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors.” International Economic Review 56 (4): 1079–134) to a large dimensional factor model. To this end, we compare two methods of identifying common and idiosyncratic components: the Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC) method by Bai, J., and S. Ng. (2004. “A Panic Attack on Unit Roots and Cointegration.” Econometrica 72 (4): 1127–77) and the Cross-Sectional regression (CS) method by Yamamoto, Y., and T. Horie. (2022. “A Cross-Sectional Method for Right-Tailed PANIC Tests under a Moderately Local to Unity Framework.” Econometric Theory (forthcoming)). We show that, when the explosive behavior lies only in the common component, the origination and termination dates are precisely estimated by either method. However, when the explosive behaviors exist in idiosyncratic components, only the CS method can detect them. We apply our method to the U.S. state-level real house price indices. We find that the 2000s boom was driven by not only the national bubble factors but also local components, while the 2010s onward expansion is dominated by the effect of national components.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46834094","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Empirical Framework for Two-Player Repeated Games with Random States 随机状态二人重复博弈的经验框架
Journal of Econometric Methods Pub Date : 2022-11-29 DOI: 10.1515/jem-2022-0001
Arkadiusz Szydłowski
{"title":"Empirical Framework for Two-Player Repeated Games with Random States","authors":"Arkadiusz Szydłowski","doi":"10.1515/jem-2022-0001","DOIUrl":"https://doi.org/10.1515/jem-2022-0001","url":null,"abstract":"Abstract We provide methods for the empirical analysis of a class of two-player repeated games with i.i.d. shocks, allowing for non-Markovian strategies. The number of possible equilibria in these games is large and, usually, theory is silent about which equilibrium will be chosen in practice. Thus, our method remains agnostic about selection among these multiple equilibria, which leads to partial identification of the parameters of the game. We propose a profiled likelihood criterion for building confidence sets for the structural parameters of the game and derive an easily computable upper bound on the critical value. We demonstrate good finite-sample performance of our procedure using a simulation study. We illustrate the usefulness of our method by studying the effect of repealing the Wright Amendment on entry and exit into Dallas airline markets and find that the static game approach overestimates the negative effect of the law on entry into these markets.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"12 1","pages":"1 - 31"},"PeriodicalIF":0.0,"publicationDate":"2022-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44044396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the Use of the Helmert Transformation, and its Applications in Panel Data Econometrics Helmert变换的应用及其在面板数据计量经济学中的应用
Journal of Econometric Methods Pub Date : 2022-10-05 DOI: 10.1515/jem-2021-0023
Gueorgui I. Kolev, Helmuts Āzacis
{"title":"On the Use of the Helmert Transformation, and its Applications in Panel Data Econometrics","authors":"Gueorgui I. Kolev, Helmuts Āzacis","doi":"10.1515/jem-2021-0023","DOIUrl":"https://doi.org/10.1515/jem-2021-0023","url":null,"abstract":"Abstract We revisit the Helmert transformation, and provide a useful and simple derivation of the joint distribution of the sample mean and the sample variance in samples from independently and identically distributed normal random variables. Our derivation is distinguished by concreteness, very little abstractness, and should be appealing to beginning students of statistics, and to both beginning and advanced students of econometrics. We also highlight one fruitful application of the Helmert transformation in panel data econometrics. The Helmert transformation can be used to eliminate the fixed effects in the estimation of fixed effects models, and we briefly review this application of the transformation in the panel data context.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"12 1","pages":"131 - 138"},"PeriodicalIF":0.0,"publicationDate":"2022-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43516012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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