Journal of Econometric Methods最新文献_第5页

On the Size Distortion of a Test for Equality between the ATE and FE Estimands 关于ATE和FE估计相等性检验的大小失真

Journal of Econometric Methods Pub Date : 2018-07-31 DOI: 10.1515/JEM-2018-0011

David H. Pacini

引用次数: 0

Testing Spatial Dependence in Spatial Models with Endogenous Weights Matrices 用内生权矩阵检验空间模型的空间依赖性

Journal of Econometric Methods Pub Date : 2018-07-31 DOI: 10.2139/ssrn.3167555

Anil K. Bera, Osman Doğan, Suleyman Taspinar

引用次数: 6

Nonparametric estimation of natural direct and indirect effects based on inverse probability weighting 基于逆概率加权的自然直接和间接效应的非参数估计

Journal of Econometric Methods Pub Date : 2018-06-13 DOI: 10.1515/JEM-2017-0016

Yu‐Chin Hsu, M. Huber, Tsung-Chih Lai

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引用次数: 11

Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation 回归不连续和异方差稳健标准误差:来自固定带宽近似的证据

Journal of Econometric Methods Pub Date : 2018-02-21 DOI: 10.1515/JEM-2016-0007

Otávio Bartalotti

{"title":"Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation","authors":"Otávio Bartalotti","doi":"10.1515/JEM-2016-0007","DOIUrl":"https://doi.org/10.1515/JEM-2016-0007","url":null,"abstract":"Abstract In regression discontinuity designs (RD), for a given bandwidth, researchers can estimate standard errors based on different variance formulas obtained under different asymptotic frameworks. In the traditional approach the bandwidth shrinks to zero as sample size increases; alternatively, the bandwidth could be treated as fixed. The main theoretical results for RD rely on the former, while most applications in the literature treat the estimates as parametric, implementing the usual heteroskedasticity-robust standard errors. This paper develops the “fixed-bandwidth” alternative asymptotic theory for RD designs, which sheds light on the connection between both approaches. I provide alternative formulas (approximations) for the bias and variance of common RD estimators, and conditions under which both approximations are equivalent. Simulations document the improvements in test coverage that fixed-bandwidth approximations achieve relative to traditional approximations, especially when there is local heteroskedasticity. Feasible estimators of fixed-bandwidth standard errors are easy to implement and are akin to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity-robust standard errors in RD settings. Bias mitigation approaches are discussed and a novel bootstrap higher-order bias correction procedure based on the fixed bandwidth asymptotics is suggested.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2016-0007","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45475970","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: 3

Testing for a Functional Form of Mean Regression in a Fully Parametric Environment 全参数环境下均值回归函数形式的检验

Journal of Econometric Methods Pub Date : 2018-02-10 DOI: 10.1515/JEM-2016-0013

Stanislav Anatolyev

引用次数: 0

Further Results on Interpreting Coefficients in Regressions with a Logarithmic Dependent Variable 对数因变量回归中系数解释的进一步结果

Journal of Econometric Methods Pub Date : 2018-01-26 DOI: 10.1515/jem-2016-0015

Aren Megerdichian

引用次数: 1

Exponential Regression of Fractional-Response Fixed-Effects Models with an Application to Firm Capital Structure 分数响应固定效应模型的指数回归及其在企业资本结构中的应用

Journal of Econometric Methods Pub Date : 2018-01-26 DOI: 10.1515/jem-2015-0019

Esmeralda A. Ramalho, Joaquim J. S. Ramalho, L. Coelho

引用次数: 29

Working with Data: Two Empiricists’ Experience 处理数据:两位经验主义者的经验

Journal of Econometric Methods Pub Date : 2018-01-26 DOI: 10.1515/jem-2016-0001

Christopher R. Knittel, Konstantinos Metaxoglou

引用次数: 1

On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators 关于三种间接推断估计量的Edgeworth展开式和矩逼近的有效性

Journal of Econometric Methods Pub Date : 2018-01-26 DOI: 10.1515/jem-2015-0009

Stelios Arvanitis, Antonis Demos

{"title":"On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators","authors":"Stelios Arvanitis, Antonis Demos","doi":"10.1515/jem-2015-0009","DOIUrl":"https://doi.org/10.1515/jem-2015-0009","url":null,"abstract":"Abstract This paper deals with higher order asymptotic properties for three indirect inference estimators. We provide conditions that ensure the validity of locally uniform, with respect to the parameter, Edgeworth approximations. When these are of sufficiently high order they also form integrability conditions that validate locally uniform moment approximations. We derive the relevant second order bias and MSE approximations for the three estimators as functions of the respective approximations for the auxiliary estimator. We confirm that in the special case of deterministic weighting and affinity of the binding function, one of them is second order unbiased. The other two estimators do not have this property under the same conditions. Moreover, in this case, the second order approximate MSEs imply the superiority of the first estimator. We generalize to multistep procedures that provide recursive indirect inference estimators which are locally uniformly unbiased at any given order. Furthermore, in a particular case, we manage to validate locally uniform Edgeworth expansions for one of the estimators without any differentiability requirements for the estimating equations. We examine the bias-MSE results in a small Monte Carlo exercise.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939654","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: 4

Inference with Difference-in-Differences Revisited 重访差异中的差异推理

Journal of Econometric Methods Pub Date : 2018-01-22 DOI: 10.1515/jem-2017-0005

M. Brewer, Thomas F. Crossley, R. Joyce

引用次数: 93