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Foreign Direct Investment and Growth Symbiosis: A Semiparametric System of Simultaneous Equations Analysis 外商直接投资与增长共生：一个半参数联立方程分析系统
Journal of Econometric Methods Pub Date : 2017-12-08 DOI: 10.1515/jem-2016-0008
N. McCloud, Michael S. Delgado, S. Kumbhakar
{"title":"Foreign Direct Investment and Growth Symbiosis: A Semiparametric System of Simultaneous Equations Analysis","authors":"N. McCloud, Michael S. Delgado, S. Kumbhakar","doi":"10.1515/jem-2016-0008","DOIUrl":"https://doi.org/10.1515/jem-2016-0008","url":null,"abstract":"Abstract We characterize the types of interactions between foreign direct investment (FDI) and economic growth, and analyze the effect of institutional quality on such interactions. To do this analysis, we develop a class of instrument-based semiparametric system of simultaneous equations estimators for panel data and prove that our estimators are consistent and asymptotically normal. Our new methodological tool suggests that across developed and developing economies, causal, heterogeneous symbiosis and commensalism are the most dominant types of interactions between FDI and economic growth. Higher institutional quality facilitates, impedes or has no effect on the interactions between FDI and economic growth.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2016-0008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43780633","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: 2
How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations? 结构性不对称首价拍卖估价代表真实估值的准确性有多高?
Journal of Econometric Methods Pub Date : 2017-01-27 DOI: 10.1515/jem-2017-0001
K. Chernomaz, Hisayuki Yoshimoto
{"title":"How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?","authors":"K. Chernomaz, Hisayuki Yoshimoto","doi":"10.1515/jem-2017-0001","DOIUrl":"https://doi.org/10.1515/jem-2017-0001","url":null,"abstract":"Abstract Structural asymmetric first-price auction estimation methods have provided numerous empirical studies. However, due to the latent nature of underlying valuations, the accuracy of estimates is not feasibly testable with field data, a fact that could inhibit empirical auction market designs and applications based on structural estimates. To assess their accuracy, we provide an analysis of estimates derived from experimental asymmetric auction data, in which researchers observe valuations. We test the null of statistical equivalence between the estimated and true value distributions against the alternative of non-equivalence. When advanced models are used, the Modified Kolmogorov-Smirnov test fails to reject the distributional equivalence, supporting structural asymmetric auction estimations for auction market studies. In addition, recovered efficiencies have plus-minus 2.5 percent precision, compared to the true efficiencies.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2017-0001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45103795","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: 2
Linearly Transforming Variables in the VAR Model, How Does it Change the Impulse Response? VAR模型中变量的线性变换，如何改变脉冲响应?
Journal of Econometric Methods Pub Date : 2017-01-01 DOI: 10.1515/jem-2015-0015
P. Reusens, C. Croux
{"title":"Linearly Transforming Variables in the VAR Model, How Does it Change the Impulse Response?","authors":"P. Reusens, C. Croux","doi":"10.1515/jem-2015-0015","DOIUrl":"https://doi.org/10.1515/jem-2015-0015","url":null,"abstract":"Abstract This paper analyzes the impulse response function of vector autoregression models for variables that are linearly transformed. The impulse response is equal to the linear transformation of the original impulse response if and only if the shock is equal to the linear transformation of the original shock. In particular, we consider shocks in one error term only, generalized shocks, structural shocks identified by short-run recursive restrictions and structural shocks identified by long-run recursive restrictions. A vector autoregression model with expected inflation, the overnight rate and a long term ex-ante real interest rate that replaces the corresponding long term nominal interest rate, illustrates our results.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939671","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
Monte Carlo Evidence on the Estimation Method for Industry Dynamics 行业动态估计方法的蒙特卡罗证据
Journal of Econometric Methods Pub Date : 2016-08-16 DOI: 10.1515/jem-2018-0010
Kazufumi Yamana
{"title":"Monte Carlo Evidence on the Estimation Method for Industry Dynamics","authors":"Kazufumi Yamana","doi":"10.1515/jem-2018-0010","DOIUrl":"https://doi.org/10.1515/jem-2018-0010","url":null,"abstract":"Abstract This study presents a structural estimation method for nonlinear stochastic dynamic models of heterogeneous firms. I perform a Monte Carlo experiment to evaluate the performance of the estimators for the AR(1) dynamic panel data subject to sample selection without exogenous regressors. The results suggest a strong need to correct the sample selection and that the proposed structural estimation method works well. These results are important for practical situations where the assumptions of the standard sample selection correction methods are not satisfied.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2018-0010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939376","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 and Inference in an Ecological Inference Model 生态推理模型中的估计与推理
Journal of Econometric Methods Pub Date : 2016-03-21 DOI: 10.1515/jem-2015-0006
Yanqin Fan, R. Sherman, M. Shum
{"title":"Estimation and Inference in an Ecological Inference Model","authors":"Yanqin Fan, R. Sherman, M. Shum","doi":"10.1515/jem-2015-0006","DOIUrl":"https://doi.org/10.1515/jem-2015-0006","url":null,"abstract":"Abstract We interpret an ecological inference model as a treatment effects model in which the outcomes of interest and the conditional covariates come from separate datasets. In this setting, the counterfactual distributions and policy parameters of interest are only partially identified under a selection on observables assumption. In this paper, we provide estimation and inference procedures for structural prediction and counterfactual analysis in such models. We also illustrate the procedures with an application to US presidential elections.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"17 - 48"},"PeriodicalIF":0.0,"publicationDate":"2016-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939599","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: 8
Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions 区分有效的外部仪器和有效的排除限制
Journal of Econometric Methods Pub Date : 2016-01-01 DOI: 10.1515/jem-2016-0005
J. Kiviet
{"title":"Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions","authors":"J. Kiviet","doi":"10.1515/jem-2016-0005","DOIUrl":"https://doi.org/10.1515/jem-2016-0005","url":null,"abstract":"Abstract In models estimated by (generalized) method of moments a test on coefficient restrictions can either be based on a Wald statistic or on the difference between evaluated criterion functions. From their correspondence it easily follows that the statistic used for testing instrument validity, the Sargan-Hansen overidentifying restrictions (OR) statistic, is equivalent to an exclusion restrictions test statistic for a nonunique group of regressor variables. We prove that asymptotically this is the case too for incremental OR tests. However, we also demonstrate that, despite this equivalence of test statistics, one can nevertheless distinguish between either the (in)validity of some additional instruments or the (un)tenability of particular exclusion restrictions. This, however, requires to be explicit about the adopted maintained hypothesis. It also highlights that recent warnings in the literature that overidentifying restrictions tests may mislead practitioners should not be directed towards the test, but to practitioners who do not realize that inference based on such tests is unavoidably conditional on the validity of particular just-identifying statistically untestable assumptions.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2016-0005","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939316","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: 15
Local Semi-Parametric Efficiency of the Poisson Fixed Effects Estimator 泊松固定效应估计量的局部半参数效率
Journal of Econometric Methods Pub Date : 2016-01-01 DOI: 10.1515/jem-2015-0022
Valentin Verdier
{"title":"Local Semi-Parametric Efficiency of the Poisson Fixed Effects Estimator","authors":"Valentin Verdier","doi":"10.1515/jem-2015-0022","DOIUrl":"https://doi.org/10.1515/jem-2015-0022","url":null,"abstract":"Abstract Hausman, Hall, and Griliches [Hausman, J., H. B. Hall, and Z. Griliches. 1984. “Econometric Models for Count Data with an Application to the Patents-R & D Relationship.” Econometrica 52 (4): 909–938.] have defined the Poisson fixed effects (PFE) estimator to estimate models of panel data with count dependent variables under distributional assumptions conditional on covariates and unobserved heterogeneity, but without any restriction on the distribution of unobserved heterogeneity conditional on covariates. Wooldridge [Wooldridge, J. M. 1999. “Distribution-Free Estimation of some Nonlinear Panel Data Models.” Journal of Econometrics 90 (1): 77–97.] showed that the PFE estimator is actually consistent even if the distributional assumptions of the PFE model are violated, as long as the restrictions imposed on the conditional mean of the dependent variable are satisfied. In this note I study the efficiency of the PFE estimator in the absence of distributional assumptions. I show that the PFE estimator corresponds to the optimal estimator for random coefficients models of Chamberlain [Chamberlain, G. 1992. “Efficiency Bounds for Semiparametric Regression.” Econometrica 60 (3): 567–596.] in the particular case where the assumptions of equal conditional mean and variance and zero conditional serial correlation are satisfied, regardless of whether the distributional assumptions of the PFE model hold. For instance the dependent variable does not need to be a count variable. This local efficiency result, combined with the simplicity and robustness of the PFE estimator, should provide a useful additional justification for its use to estimate conditional mean models of panel data.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0022","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939307","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
Teaching Size and Power Properties of Hypothesis Tests Through Simulations 模拟教学中假设检验的大小和功率特性
Journal of Econometric Methods Pub Date : 2016-01-01 DOI: 10.1515/jem-2015-0014
Suleyman Taspinar, Osman Doğan
{"title":"Teaching Size and Power Properties of Hypothesis Tests Through Simulations","authors":"Suleyman Taspinar, Osman Doğan","doi":"10.1515/jem-2015-0014","DOIUrl":"https://doi.org/10.1515/jem-2015-0014","url":null,"abstract":"Abstract In this study, we review the graphical methods suggested in Davidson and MacKinnon (Davidson, Russell, and James G. MacKinnon. 1998. “Graphical Methods for Investigating the Size and Power of Hypothesis Tests.” The Manchester School 66 (1): 1–26.) that can be used to investigate size and power properties of hypothesis tests for undergraduate and graduate econometrics courses. These methods can be used to assess finite sample properties of various hypothesis tests through simulation studies. In addition, these methods can be effectively used in classrooms to reinforce students’ understanding of basic hypothesis testing concepts such as Type I error, Type II error, size, power, p-values and under-or-over-sized tests. We illustrate the procedural aspects of these graphical methods through Monte Carlo experiments, and provide the implementation codes written in Matlab and R for the classroom applications.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0014","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939664","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
Linear Model IV Estimation When Instruments Are Many or Weak 当仪器多或弱时的线性模型IV估计
Journal of Econometric Methods Pub Date : 2016-01-01 DOI: 10.1515/jem-2012-0007
Michael P. Murray
{"title":"Linear Model IV Estimation When Instruments Are Many or Weak","authors":"Michael P. Murray","doi":"10.1515/jem-2012-0007","DOIUrl":"https://doi.org/10.1515/jem-2012-0007","url":null,"abstract":"Abstract Economists rely frequently on instrumental variables estimation to overcome biases that endogenous explanatory variables cause in ordinary least squares estimation. However, traditional instrumental variables estimators, such as two-stage least squares and limited information maximum likelihood estimation, can suffer persistent estimator biases and size-of-test biases in even very large samples if the instruments used are large in number or are only weakly correlated with an endogenous explanatory variable. This paper reviews strategies for grappling with weak instruments and with large numbers of instruments in linear regression models.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2012-0007","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939167","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: 6
A Simple Estimator for Dynamic Models with Serially Correlated Unobservables 具有序列相关不可观测量的动态模型的一个简单估计
Journal of Econometric Methods Pub Date : 2015-09-28 DOI: 10.1515/jem-2015-0011
Yingyao Hu, M. Shum, W. Tan, Ruli Xiao
{"title":"A Simple Estimator for Dynamic Models with Serially Correlated Unobservables","authors":"Yingyao Hu, M. Shum, W. Tan, Ruli Xiao","doi":"10.1515/jem-2015-0011","DOIUrl":"https://doi.org/10.1515/jem-2015-0011","url":null,"abstract":"Abstract We present a method for estimating Markov dynamic models with unobserved state variables which can be serially correlated over time. We focus on the case where all the model variables have discrete support. Our estimator is simple to compute because it is noniterative, and involves only elementary matrix manipulations. Our estimation method is nonparametric, in that no parametric assumptions on the distributions of the unobserved state variables or the laws of motions of the state variables are required. Monte Carlo simulations show that the estimator performs well in practice, and we illustrate its use with a dataset of doctors’ prescription of pharmaceutical drugs.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0011","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939660","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: 14
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