具有多弱仪器的二元响应模型

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2025-01-18 DOI:10.1002/jae.3101

Dakyung Seong

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引用次数: 0

摘要

本文考虑了一个具有多弱仪器的内生二元响应模型。我们采用控制函数方法和正则化方案对存在许多弱仪器的内源性二元响应模型获得更好的估计结果。给出了两个一致且渐近正态分布的估计量，分别称为正则化条件极大似然估计量（RCMLE）和正则化非线性最小二乘估计量（RNLSE）。蒙特卡罗仿真结果表明，当存在许多弱仪器时，所提估计器的性能优于现有估计器。我们使用提出的估计方法来检验家庭收入对大学毕业的影响。

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Binary Response Model With Many Weak Instruments

This paper considers an endogenous binary response model with many weak instruments. We employ a control function approach and a regularization scheme to obtain better estimation results for the endogenous binary response model in the presence of many weak instruments. Two consistent and asymptotically normally distributed estimators are provided, each of which is called a regularized conditional maximum likelihood estimator (RCMLE) and a regularized nonlinear least squares estimator (RNLSE). Monte Carlo simulations show that the proposed estimators outperform the existing ones when there are many weak instruments. We use the proposed estimation method to examine the effect of family income on college completion.

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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.