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On the Robustness of Coefficient Estimates to the Inclusion of Proxy Variables 关于包含代理变量的系数估计的稳健性
Journal of Econometric Methods Pub Date : 2014-01-01 DOI: 10.1515/jem-2012-0008
C. Bollinger, Jenny Minier
{"title":"On the Robustness of Coefficient Estimates to the Inclusion of Proxy Variables","authors":"C. Bollinger, Jenny Minier","doi":"10.1515/jem-2012-0008","DOIUrl":"https://doi.org/10.1515/jem-2012-0008","url":null,"abstract":"Abstract This paper considers the use of multiple proxy measures for an unobserved variable and contrasts the approach taken in the measurement error literature to that of the model specification literature. We find that including all available proxy variables in the regression minimizes the bias on coefficients of correctly measured variables in the regression. We derive a set of bounds for all parameters in the model, and compare these results to extreme bounds analysis. Monte Carlo simulations demonstrate the performance of our bounds relative to extreme bounds. We conclude with an empirical example from the cross-country growth literature in which human capital is measured through three proxy variables: literacy rates, and enrollment in primary and secondary school, and show that our approach yields results that contrast sharply with extreme bounds analysis.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"4 1","pages":"101 - 122"},"PeriodicalIF":0.0,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2012-0008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939179","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: 16
Testing Competing Models for Non-negative Data with Many Zeros 多零非负数据的竞争模型检验
Journal of Econometric Methods Pub Date : 2014-01-01 DOI: 10.1515/jem-2013-0005
J. S. Silva, Silvana Tenreyro, F. Windmeijer
{"title":"Testing Competing Models for Non-negative Data with Many Zeros","authors":"J. S. Silva, Silvana Tenreyro, F. Windmeijer","doi":"10.1515/jem-2013-0005","DOIUrl":"https://doi.org/10.1515/jem-2013-0005","url":null,"abstract":"Abstract In economic applications it is often the case that the variate of interest is non-negative and its distribution has a mass-point at zero. Many regression strategies have been proposed to deal with data of this type but, although there has been a long debate in the literature on the appropriateness of different models, formal statistical tests to choose between the competing specifications are not often used in practice. We use the non-nested hypothesis testing framework of Davidson and MacKinnon (Davidson and MacKinnon 1981. “Several Tests for Model Specification in the Presence of Alternative Hypotheses.” Econometrica 49: 781–793.) to develop a novel and simple regression-based specification test that can be used to discriminate between these models.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"4 1","pages":"29 - 46"},"PeriodicalIF":0.0,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2013-0005","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939569","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: 57
Percentile and Percentile-t Bootstrap Confidence Intervals: A Practical Comparison 百分位和百分位-t Bootstrap置信区间:一个实用的比较
Journal of Econometric Methods Pub Date : 2014-01-01 DOI: 10.1515/jem-2013-0015
Christopher J. Elias
{"title":"Percentile and Percentile-t Bootstrap Confidence Intervals: A Practical Comparison","authors":"Christopher J. Elias","doi":"10.1515/jem-2013-0015","DOIUrl":"https://doi.org/10.1515/jem-2013-0015","url":null,"abstract":"Abstract This paper employs a Monte Carlo study to compare the performance of equal-tailed bootstrap percentile-t, symmetric bootstrap percentile-t, bootstrap percentile, and standard asymptotic confidence intervals in two distinct heteroscedastic regression models. Bootstrap confidence intervals are constructed with both the XY and wild bootstrap algorithm. Theory implies that the percentile-t methods will outperform the other methods, where performance is based on the convergence rate of empirical coverage to the nominal level. Results are consistent across models, in that in the case of the XY bootstrap algorithm the symmetric percentile-t method outperforms the other methods, but in the case of the wild bootstrap algorithm the two percentile-t methods perform similarly and outperform the other methods. The implication is that practitioners that employ the XY algorithm should utilize the symmetric percentile-t interval, while those who opt for the wild algorithm should use either of the percentile-t methods.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"4 1","pages":"153 - 161"},"PeriodicalIF":0.0,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2013-0015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939219","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
On Testing the Equality of Mean and Quantile Effects 关于均值和分位数效应相等性的检验
Journal of Econometric Methods Pub Date : 2013-11-02 DOI: 10.1515/JEM-2012-0003
Anil K. Bera, A. Galvao, Liang Wang
{"title":"On Testing the Equality of Mean and Quantile Effects","authors":"Anil K. Bera, A. Galvao, Liang Wang","doi":"10.1515/JEM-2012-0003","DOIUrl":"https://doi.org/10.1515/JEM-2012-0003","url":null,"abstract":"Abstract This paper proposes tests for equality of the mean regression (MR) and quantile regression (QR) coefficients. The tests are based on the asymptotic joint distribution of the ordinary least squares and QR estimators. First, we formally derive the asymptotic joint distribution of these estimators. Second, we propose a Wald test for equality of the MR and QR coefficients considering a single fixed quantile, and also describe a more general test using multiple quantiles simultaneously. A very salient feature of these tests is that they produce asymptotically distribution-free nature of inference. In addition, we suggest a sup-type test for equality of the coefficients uniformly over a range of quantiles. For the estimation of the variance-covariance matrix, the use sample counterparts and bootstrap methods. An important attribute of the proposed tests is that they can be used as a heteroskedasticity test. Monte Carlo studies are conducted to evaluate the finite sample properties of the tests in terms of size and power. Finally, we briefly illustrate the implementation of the tests using Engel data.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"3 1","pages":"47 - 62"},"PeriodicalIF":0.0,"publicationDate":"2013-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2012-0003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939157","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: 13
Measuring Benchmark Damages in Antitrust Litigation 反垄断诉讼中基准损害赔偿的衡量
Journal of Econometric Methods Pub Date : 2013-10-26 DOI: 10.1515/JEM-2013-0006
J. Mccrary, D. Rubinfeld
{"title":"Measuring Benchmark Damages in Antitrust Litigation","authors":"J. Mccrary, D. Rubinfeld","doi":"10.1515/JEM-2013-0006","DOIUrl":"https://doi.org/10.1515/JEM-2013-0006","url":null,"abstract":"Abstract We compare the two dominant approaches to estimation of benchmark damages in antitrust litigation, the forecasting approach and the dummy variable approach. We give conditions under which the two approaches are equivalent and present the results of a small simulation study.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"35 1","pages":"63 - 74"},"PeriodicalIF":0.0,"publicationDate":"2013-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2013-0006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939612","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: 21
A Regression Model for the Copula-Graphic Estimator copula - graph估计量的回归模型
Journal of Econometric Methods Pub Date : 2013-09-05 DOI: 10.1515/JEM-2012-0016
Simon M. S. Lo, R. Wilke
{"title":"A Regression Model for the Copula-Graphic Estimator","authors":"Simon M. S. Lo, R. Wilke","doi":"10.1515/JEM-2012-0016","DOIUrl":"https://doi.org/10.1515/JEM-2012-0016","url":null,"abstract":"Abstract We suggest a pragmatic extension of the non-parametric copula-graphic estimator to a depending competing risks model with covariates. Our model is an attractive empirical approach for practitioners in many disciplines as it does not require knowledge of the marginal distributions. Although non-observable and only set-identifiable in most applications, classical duration models typically impose ad-hoc assumptions on their functional forms. Instead of directly estimating these distributions, we suggest a plug-in regression framework which utilises an estimator for the observable cumulative incidence curves which specification can be visually inspected. We perform simulations and estimate an unemployment duration model to demonstrate the advantages of our model compared to classical duration models such as the Cox proportional hazard model.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"3 1","pages":"21 - 46"},"PeriodicalIF":0.0,"publicationDate":"2013-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2012-0016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66938758","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: 12
Tests for Price Endogeneity in Differentiated Product Models 差异化产品模型价格内生性检验
Journal of Econometric Methods Pub Date : 2013-05-01 DOI: 10.1515/jem-2012-0002
K. Kim, Amil Petrin
{"title":"Tests for Price Endogeneity in Differentiated Product Models","authors":"K. Kim, Amil Petrin","doi":"10.1515/jem-2012-0002","DOIUrl":"https://doi.org/10.1515/jem-2012-0002","url":null,"abstract":"Abstract We develop simple tests for endogenous prices arising from omitted demand factors in discrete choice models. Our approach only requires one to locate testing proxies that have some correlation with the omitted factors when prices are endogenous. We use the difference between prices and their predicted values given observed demand and supply factors. If prices are exogenous, these proxies should not explain demand given prices and other explanatory variables. We reject exogeneity if these proxies enter significantly in utility as additional explanatory variables. The tests are easy to implement as we show with several Monte Carlos and discuss for three recent demand applications.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"4 1","pages":"47 - 69"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2012-0002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939110","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: 12
An Alternative Proof That OLS is BLUE OLS是蓝色的另一种证明
Journal of Econometric Methods Pub Date : 2012-08-24 DOI: 10.1515/2156-6674.1034
H. White, J. Cho
{"title":"An Alternative Proof That OLS is BLUE","authors":"H. White, J. Cho","doi":"10.1515/2156-6674.1034","DOIUrl":"https://doi.org/10.1515/2156-6674.1034","url":null,"abstract":"Abstract We provide an altrnative proof that the Ordinary Least Squares estimator is the (conditionally) best linear unbiased estimator.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"1 1","pages":"107 - 107"},"PeriodicalIF":0.0,"publicationDate":"2012-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/2156-6674.1034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66808447","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
Structural Econometric Methods in Auctions: A Guide to the Literature 拍卖中的结构计量经济学方法:文献指南
Journal of Econometric Methods Pub Date : 2012-08-24 DOI: 10.1515/2156-6674.1019
YiÄŸit SaÄŸlam
{"title":"Structural Econometric Methods in Auctions: A Guide to the Literature","authors":"YiÄŸit SaÄŸlam","doi":"10.1515/2156-6674.1019","DOIUrl":"https://doi.org/10.1515/2156-6674.1019","url":null,"abstract":"Auction models have proved to be attractive to structural econometricians who, since the late 1980s, have made substantial progress in identifying and estimating these rich game-theoretic models of bidder behavior. We provide a guide to the literature in which we contrast the various informational structures (paradigms) commonly assumed by researchers and uncover the evolution of the eld. We highlight major contributions within each paradigm and benchmark modi cations and extensions to these core models. Lastly, we discuss special topics that have received substantial attention among auction researchers in recent years, including auctions formultiple objects, auctions with risk averse bidders, testing between common and private value paradigms, unobserved auction-speci c heterogeneity, and accounting for an unobserved number of bidders as well as endogenous entry.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"1 1","pages":"67-106"},"PeriodicalIF":0.0,"publicationDate":"2012-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/2156-6674.1019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66808377","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: 22
Exogenous Treatment and Endogenous Factors: Vanishing of Omitted Variable Bias on the Interaction Term 外源处理与内源因素:在相互作用项上忽略变量偏差的消失
Journal of Econometric Methods Pub Date : 2012-01-28 DOI: 10.1515/jem-2013-0012
O. Nizalova, Irina Murtazashvili
{"title":"Exogenous Treatment and Endogenous Factors: Vanishing of Omitted Variable Bias on the Interaction Term","authors":"O. Nizalova, Irina Murtazashvili","doi":"10.1515/jem-2013-0012","DOIUrl":"https://doi.org/10.1515/jem-2013-0012","url":null,"abstract":"Abstract Whether interested in the differential impact of a particular factor in various institutional settings or in the heterogeneous effect of policy or random experiment, the empirical researcher confronts a problem if the factor of interest is correlated with an omitted variable. This paper presents the circumstances under which it is possible to arrive at a consistent estimate of the mentioned effect. We find that if the source of heterogeneity and omitted variable are jointly independent of policy or treatment, then the OLS estimate on the interaction term between the treatment and endogenous factor turns out to be consistent.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"71 - 77"},"PeriodicalIF":0.0,"publicationDate":"2012-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2013-0012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939685","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: 175
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