GMM Estimation with Non-causal Instruments*

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Factor-GMM estimation with large sets of possibly weak instruments

This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can provide a summary of a large set of instruments. Further, the situation where many weak instruments exi...

متن کامل

GMM Estimation of Panel Probit Models: Nonparametric Estimation of the Optimal Instruments

The generalised method of moments (GMM) is combined with the nonparametric estimation of the instrument matrix to obtain an easily computable estimator for the panel probit model. It is based on the speciication of the conditional mean of the binary dependent variable in each period, and therefore high-dimensional numerical integrations are avoided. An extensive Monte Carlo study compares this ...

متن کامل

Sensitivity analysis for inference in 2SLS/GMM estimation with possibly flawed instruments

Abstract. Credible inference requires attention to the possible fragility of the results (p-values for key hypothesis tests) to flaws in the model assumptions, notably accounting for the validity of the instruments used. Past sensitivity analysis has mainly consisted of experimentation with alternative model specifications and with tests of over-identifying restrictions which actually presuppos...

متن کامل

GMM, Weak Instruments, and Weak Identification

Weak instruments arise when the instruments in linear IV regression are weakly correlated with the included endogenous variables. In nonlinear GMM, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to non-normal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various...

متن کامل

Causal Bounds and Instruments

Instrumental variables have proven useful, in particular within the social sciences and economics, for making inference about the causal effect of a random variable, B, on another random variable, C, in the presence of unobserved confounders. In the case where relationships are linear, causal effects can be identified exactly from studying the regression of C on A and the regression of B on A, ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Oxford Bulletin of Economics and Statistics

سال: 2011

ISSN: 0305-9049

DOI: 10.1111/j.1468-0084.2010.00631.x