Four Essays In Econometrics

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Four Essays In Econometrics And Macroeconomics

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Author : Benjamin Born
language : en
Publisher:
Release Date : 2011

Four Essays In Econometrics And Macroeconomics written by Benjamin Born and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Four Essays In Econometrics

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Author : Xun (Sean) Lu
language : en
Publisher:
Release Date : 2010

Four Essays In Econometrics written by Xun (Sean) Lu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Industrial productivity categories.

This dissertation contains four self-contained essays in econometrics. In Chapter 1, we give natural definitions of direct and total structural causality applicable to both structural VARs and recursive structures representing time-series natural experiments. These concepts enable us to forge a previously missing link between Granger (G- ) causality and structural causality by showing that, given a corresponding conditional form of exogeneity, G-causality holds if and only if a corresponding form of structural causality holds. We illustrate with studies of oil and gasoline prices, monetary policy and industrial production, and stock returns and macroeconomic announcements. Chapter 2 provides nonparametric tests for various hypotheses about the effects of a continuous treatment variable in a nonseparable structural equation. These hypotheses have direct policy implications. Specifically, we consider marginal effects and various average effects and test (i) whether these effects depend on the level of treatment; (ii) whether average effects are heterogeneous across different subpopulations defined by covariates; and (iii) whether marginal effects are subject to unobservable heterogeneity. Our tests are based on consistent procedures of Bierens (1982, 1990) and Stinchcombe and White (1998). We apply our tests to study interest rate elasticities of loan demand in microfinance and the impact of education on wages. In Chapter 3, we show that careful examination of the structure determining treatment choice and outcomes is central to proper choice of covariates. We demonstrate how causal diagrams can play a key role in this examination by using these methods to give a detailed analysis of the choice of efficient covariates. Chapter 4 is about a common exercise in empirical studies -"robustness check," where the researcher examines how certain "core" regression coefficient estimates behave when the regression specification is modified by adding or removing regressors. If the coefficients are plausible and robust, this is commonly interpreted as evidence of structural validity. Here, we study when and how one can infer structural validity from coefficient robustness and plausibility. We discuss how critical and non-critical core variables can be properly specified and how non-core variables for the comparison regression can be chosen to ensure that robustness checks are indeed structurally informative.

Four Essays In Econometrics

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Author : Laurent Davezies
language : en
Publisher:
Release Date : 2013

Four Essays In Econometrics written by Laurent Davezies and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

This work consists of four independent chapters. The first deals with partially identified models, i.e. models in which the parameter of interest is not uniquely identified from the data and the model's assumptions. In some cases, no value of the parameter of interest is compatible with the data and the model's assumption. And conversely in some cases, many values are compatible with the data and the model's assumptions. This work demonstrates among other things that if the set of probability distributions compatible with the model is convex, then this set is characterized by its the extreme parts. The second paper proposes a method based on an exclusion restriction to correct endogenous attrition in panels. We apply this method to estimate the transitions on the labor market from the French Labour Force Survey. The third paper proposes a simple method to estimate a Logit model with fixed effects and state dependence as studied by Honoré and Kiriazidou. It also proposes a new method for inference. The fourth work is an evaluation of a French educational policy, implemented in 2006 whose objective is to provide extra resource to a subset of junior high schools. We exploit a discontinuity in treatment selection to build a credible counterfactual. Our results indicate some adverse treatment effects.

Four Essays In Econometrics And Policy Evaluation

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Author : Kaspar Wüthrich
language : en
Publisher:
Release Date : 2015

Four Essays In Econometrics And Policy Evaluation written by Kaspar Wüthrich 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.

Four Essays In Mathematical Economics And Econometrics

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Author : Heejoon Kang
language : en
Publisher:
Release Date : 1980

Four Essays In Mathematical Economics And Econometrics written by Heejoon Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Economics, Mathematical categories.

Econometrics With Unobservable Variables

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Author : Jungsoo Lee
language : en
Publisher:
Release Date : 1977

Econometrics With Unobservable Variables written by Jungsoo Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with categories.

Flourishing Opportunities

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Author : Ildo José Lautharte Junior
language : en
Publisher:
Release Date : 2018

Flourishing Opportunities written by Ildo José Lautharte Junior and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

Four Essays In Finite Sample Econometrics

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Author :
language : en
Publisher:
Release Date : 2007

Four Essays In Finite Sample Econometrics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

In this dissertation, we explore the use of three different analytical techniques for approximating the finite-sample properties of estimators and test statistics. These techniques are the saddlepoint approximation, the large-n approximation and the small-disturbance approximation. The first of these enables us to approximate the complete density or distribution function for a statistic of interest, while the other two approximations provide analytical results for the first few moments of the finite-sample distribution. We consider a range of interesting estimation and testing problems that arise in econometrics and empirical economics. Saddlepoint approximations are used to determine the distribution of the half-life estimator that arises in the empirical purchasing power parity literature, and to show that its moments are undefined. They are also applied to the problem of obtaining accurate critical points for the Anderson-Darling goodness-of-fit test. The large-n approximation is used to study the first two moments of the MLE in the binary Logit model. Finally, we use small-disturbance approximations to examine the bias and mean squared error of some commonly used price index numbers, when the latter are viewed as point estimators.

Essays In Econometrics

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Author : Clive W. J. Granger
language : en
Publisher: Cambridge University Press
Release Date : 2001-08-06

Essays In Econometrics written by Clive W. J. Granger 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 2001-08-06 with Business & Economics categories.

This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Four Essays On Probabilistic Forecasting In Econometrics

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Author : Fabian Krüger
language : en
Publisher:
Release Date : 2013

Four Essays On Probabilistic Forecasting In Econometrics written by Fabian Krüger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.