在具有内生性的相关随机系数模型中估算汽油需求的价格弹性

IF 2.3 3区 经济学 Q2 ECONOMICS
Michael Bates, Seolah Kim
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引用次数: 0

摘要

我们提出了一种每集群工具变量(PCIV)方法,用于在存在同期内生性和双向固定效应的情况下估计线性相关随机系数模型。这种方法可以估计异质性效应,并将其汇总为人口平均值。我们证明了这种方法的一致性,显示了它相对于标准估计方法的稳健性,并为稳健推断提供了分析标准误差。在蒙特卡罗模拟中,PCIV 在任一维度的有限样本中都表现相对较好。我们将 PCIV 应用于使用州燃料税作为工具变量来估计汽油需求的价格弹性。我们发现,与标准估计法相比,弹性异质性明显,汽油需求平均弹性更大。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Estimating the price elasticity of gasoline demand in correlated random coefficient models with endogeneity

We propose a per-cluster instrumental variable (PCIV) approach for estimating linear correlated random coefficient models in the presence of contemporaneous endogeneity and two-way fixed effects. This approach estimates heterogeneous effects and aggregates them to population averages. We demonstrate consistency, showing robustness over standard estimators, and provide analytic standard errors for robust inference. In Monte Carlo simulation, PCIV performs relatively well in finite samples in either dimension. We apply PCIV in estimating the price elasticity of gasoline demand using state fuel taxes as instrumental variables. We find significant elasticity heterogeneity and more elastic gasoline demand on average than with standard estimators.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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