Endogenous Econometric Models And Multi Stage Estimation In High Dimensional Settings
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Endogenous Econometric Models And Multi Stage Estimation In High Dimensional Settings
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Author : Ying Zhu
language : en
Publisher:
Release Date : 2015
Endogenous Econometric Models And Multi Stage Estimation In High Dimensional Settings written by Ying Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Econometric models based on observational data are often endogenous due to measurement error, autocorrelated errors, simultaneity and omitted variables, non-random sampling, self-selection, etc. Parameter estimates of these models without corrective measures may be inconsistent. The potential high-dimensional feature of these models (where the dimension of the parameters of interests is comparable to or even larger than the sample size) further complicates the statistical estimation and inference. My dissertation studies two different types of high-dimensional endogenous econometrics problems in depth and develops statistical tools together with their theoretical guarantees. The first essay in this dissertation explores the validity of the two-stage regularized least squares estimation procedure for sparse linear models in high-dimensional settings with possibly many endogenous regressors. The second essay is focused on the semiparametric sample selection model in high-dimensional settings under a weak nonparametric restriction on the form of the selection correction, for which a multi-stage projection-based regularized procedure is proposed. The number of regressors in the main equation, p, and the number of regressors in the first-stage equation, d, can grow with and exceed the sample size n in the respective models. The analysis considers the sparsity case where the number of non-zero components in the vectors of coefficients is bounded above by some integer which is allowed to grow with n but slowly compared to n, or the vectors of coefficients can be approximated by exactly sparse vectors. Simulations are conducted to gain insight on the small-sample performance of these high-dimensional multi-stage estimators. The proposed estimators in the second essay are also applied to study the pricing decisions of the gasoline retailers in the Greater Saint Louis area. The main theoretical results of both essays are finite-sample bounds from which sufficient scaling conditions on the sample size for estimation consistency and variable selection consistency (i.e., the multi-stage high-dimensional estimation procedures correctly select the non-zero coefficients in the main equation with high probability) are established. A technical issue regarding the so-called "restricted eigenvalue (RE) condition" for estimation consistency and the "mutual incoherence (MI) condition" for selection consistency arises in these multi-stage estimation procedures from allowing the number of regressors in the main equation to exceed n and this paper provides analysis to verify these RE and MI conditions. In particular, for the semiparametric sample selection model, these verifications also provide a finite-sample guarantee of the population identification condition required by the semiparametric sample selection models. In the second essay, statistical efficiency of the proposed estimators is studied via lower bounds on minimax risks and the result shows that, for a family of models with exactly sparse structure on the coefficient vector in the main equation, one of the proposed estimators attains the smallest estimation error up to the (n, d, p)-scaling among a class of procedures in worst-case scenarios. Inference procedures for the coefficients of the main equation, one based on a pivotal Dantzig selector to construct non-asymptotic confidence sets and one based on a post-selection strategy (when perfect or near-perfect selection of the high-dimensional coefficients is achieved), are discussed. Other theoretical contributions of this essay include establishing the non-asymptotic counterpart of the familiar asymptotic "oracle" type of results from previous literature: the estimator of the coefficients in the main equation behaves as if the unknown nonparametric component were known, provided the nonparametric component is sufficiently smooth.
Dealing With Endogeneity In Regression Models With Dynamic Coefficients
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Author : Chang-Jin Kim
language : en
Publisher: Now Publishers Inc
Release Date : 2010
Dealing With Endogeneity In Regression Models With Dynamic Coefficients written by Chang-Jin Kim and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While Cogley and Sargent (2002), Primiceri (2005), Sims and Zha (2006), and Sims et al. (2008) consider estimation of simultaneous equations models with stochastic coefficients as a system, we deal with the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model. Our main focus is on the two-step estimation procedures based on the control function approach, and we show how the problem of generated regressors can be addressed in second-step regressions.
Problems Of Building And Estimation Of Large Econometric Models
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Author :
language : en
Publisher:
Release Date : 1990
Problems Of Building And Estimation Of Large Econometric Models written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Econometric models categories.
Econometric Models For Industrial Organization
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Author : Matthew Shum
language : en
Publisher: World Scientific
Release Date : 2016-12-14
Econometric Models For Industrial Organization written by Matthew Shum and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-14 with Business & Economics categories.
Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Structural Econometric Models
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Author : Eugene Choo
language : en
Publisher: Emerald Group Publishing
Release Date : 2013-12-18
Structural Econometric Models written by Eugene Choo and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-18 with Business & Economics categories.
This volume focuses on recent developments in the use of structural econometric models in empirical economics. The first part looks at recent developments in the estimation of dynamic discrete choice models. The second part looks at recent advances in the area empirical matching models.
Econometric Analysis Of Cross Section And Panel Data Second Edition
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Author : Jeffrey M. Wooldridge
language : en
Publisher: MIT Press
Release Date : 2010-10-01
Econometric Analysis Of Cross Section And Panel Data Second Edition written by Jeffrey M. Wooldridge and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-01 with Business & Economics categories.
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Econometric Modelling And Forecasting Of Tourism Demand
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Author : Doris Chenguang Wu
language : en
Publisher: Taylor & Francis
Release Date : 2022-10-27
Econometric Modelling And Forecasting Of Tourism Demand written by Doris Chenguang Wu and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-10-27 with Business & Economics categories.
This insightful and timely volume provides a succinct, expert-led introduction to the latest developments in advanced econometric methodologies in the context of tourism demand modelling and forecasting. Written by a plethora of worldwide experts on this topic, this book offers a comprehensive approach to tourism econometrics. Accurate demand forecasts are crucial to decision-making in the tourism industry and this book provides real-life tourism applications and the corresponding R code alongside theoretical foundations, in order to enhance understanding and practice amongst its readers. The methodologies introduced include general to specific modelling, cointegration, vector autoregression, time-varying parameter modelling, spatiotemporal econometric models, mixed-frequency forecasting, hybrid forecasting models, forecasting combination techniques, density forecasting, judgemental forecasting, scenario forecasting under crisis, and web-based tourism forecasting. Embellished with insightful figures and tables throughout, this book is an invaluable resource for those using advanced econometric methodologies in their studies and research, including both undergraduate and postgraduate students, researchers, and practitioners.
Microeconometrics
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Author : A. Colin Cameron
language : en
Publisher: Cambridge University Press
Release Date : 2005-05-09
Microeconometrics written by A. Colin Cameron and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-09 with Business & Economics categories.
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
The Palgrave Companion To Lse Economics
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Author : Robert A. Cord
language : en
Publisher: Springer
Release Date : 2019-01-18
The Palgrave Companion To Lse Economics written by Robert A. Cord and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-18 with Business & Economics categories.
The London School of Economics (LSE) has been and continues to be one of the most important global centres for economics. With six chapters on themes in LSE economics and 29 chapters on the lives and work of LSE economists, this volume shows how economics became established at the School, how it produced some of the world’s best-known economists, including Lionel Robbins and Bill Phillips, plus Nobel Prize winners, such as Friedrich Hayek, John Hicks and Christopher Pissarides, and how it remains a global force for the very best in teaching and research in economics. With original contributions from a stellar cast, this volume provides economists – especially those interested in macroeconomics and the history of economic thought – with the first in-depth analysis of LSE economics.
The Econometrics Of Multi Dimensional Panels
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Author : Laszlo Matyas
language : en
Publisher: Springer
Release Date : 2017-07-26
The Econometrics Of Multi Dimensional Panels written by Laszlo Matyas and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-26 with Business & Economics categories.
This book presents the econometric foundations and applications of multi-dimensional panels, including modern methods of big data analysis. The last two decades or so, the use of panel data has become a standard in many areas of economic analysis. The available models formulations became more complex, the estimation and hypothesis testing methods more sophisticated. The interaction between economics and econometrics resulted in a huge publication output, deepening and widening immensely our knowledge and understanding in both. The traditional panel data, by nature, are two-dimensional. Lately, however, as part of the big data revolution, there has been a rapid emergence of three, four and even higher dimensional panel data sets. These have started to be used to study the flow of goods, capital, and services, but also some other economic phenomena that can be better understood in higher dimensions. Oddly, applications rushed ahead of theory in this field. This book is aimed at filling this widening gap. The first theoretical part of the volume is providing the econometric foundations to deal with these new high-dimensional panel data sets. It not only synthesizes our current knowledge, but mostly, presents new research results. The second empirical part of the book provides insight into the most relevant applications in this area. These chapters are a mixture of surveys and new results, always focusing on the econometric problems and feasible solutions.