用于选择有效工具变量的聚合分层聚类法

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-07-05 DOI:10.1002/jae.3078

Nicolas Apfel, Xiaoran Liang

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引用次数: 0

摘要

摘要我们提出了一种将分层聚类与过度识别限制检验相结合的程序，用于从大量的工具变量（IV）中选择有效的工具变量（IV）。其中一些 IV 可能是无效的，因为它们没有通过排除限制。我们的研究表明，如果最大的一组 IV 是有效的，那么我们的方法就能实现神谕特性。与现有技术不同，我们的工作涉及多个内生回归因子。仿真结果表明，该方法在各种情况下都具有优势。该方法被应用于估计移民对工资的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Agglomerative hierarchical clustering for selecting valid instrumental variables

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Agglomerative hierarchical clustering for selecting valid instrumental variables

We propose a procedure that combines hierarchical clustering with a test of overidentifying restrictions for selecting valid instrumental variables (IV) from a large set of IVs. Some of these IVs may be invalid in that they fail the exclusion restriction. We show that if the largest group of IVs is valid, our method achieves oracle properties. Unlike existing techniques, our work deals with multiple endogenous regressors. Simulation results suggest an advantageous performance of the method in various settings. The method is applied to estimating the effect of immigration on wages.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

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.