Inference In The Presence Of Weak Instruments
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Inference In The Presence Of Weak Instruments
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Author : D. S. Poskitt
language : en
Publisher:
Release Date : 2013
Inference In The Presence Of Weak Instruments written by D. S. Poskitt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
Inference in the Presence of Weak Instruments is concerned with inference in the linear simultaneous equations model. The ideas developed for this model have remained central to econometric practice, with the use of instrumental variables estimation having served as a unifying paradigm in econometrics for decades. The literature could be viewed as belonging to one of two strands, either large-sample asymptotic or finite-sample analysis. Of these two strands, the former matured more quickly and has had far greater impact on empirical practice than the latter. In contrast, the finite-sample literature took some twenty years longer to develop, by which time empirical practice was largely entrenched. The consensus view was that the asymptotic results are considerably simpler to interpret than the exact results that are obtained, and are notionally more general as they are predicated on weaker distributional assumptions. Towards the end of the 1980s, both strands of the literature focused attention on models that were either unidentified or close to unidentified. First, there was a growing understanding of the empirical consequences of using weak instruments. Second, the finite-sample results developed throughout the 1980s invariably involved multiple infinite series of invariant polynomials of matrix argument which were typically not very revealing. Consequently, simplifying special cases were explored to illustrate the results contained within the more general expressions. It was observed that the leading terms of these series expansions corresponded to totally unidentified models, and therefore the analyses of these models became a commonly used expository device in this literature. These totally unidentified models can be thought of as limiting cases of weak instruments. Finally, it was becoming clear that the existing large-sample asymptotic results were providing very poor approximations to the true sampling behavior of various statistical procedures. More recently, the literature has been devoted to analyzing potential remedies to the problem of weak instruments Inference in the Presence of Weak Instruments presents a selected survey that examines this growing literature into issues of estimation, hypothesis testing, and confidence interval construction. This survey indicates some of the links between the different traditions by using the small concentration results from an earlier publication of the authors. These results can be used to characterize various special cases when instruments are weak.
Issues In General Economic Research And Application 2013 Edition
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Author :
language : en
Publisher: ScholarlyEditions
Release Date : 2013-05-01
Issues In General Economic Research And Application 2013 Edition written by and has been published by ScholarlyEditions this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-01 with Business & Economics categories.
Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Inference With Weak Instruments
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Author : Donald W. K. Andrews
language : en
Publisher:
Release Date : 2005
Inference With Weak Instruments written by Donald W. K. Andrews and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Instrumental variables (Statistics) categories.
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics, " which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson- Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs
Survey On Statistical Inferences In Weakly Identified Instrumental Variable Models
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Author : А. Mikusheva
language : en
Publisher: Litres
Release Date : 2022-01-29
Survey On Statistical Inferences In Weakly Identified Instrumental Variable Models written by А. Mikusheva and has been published by Litres this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-29 with Business & Economics categories.
This paper provides a brief review of the current state of knowledge on the topic of weakly-identified instrumental variable regression. We describe the essence of the problem of weak identification, possible methods for detecting it in applied work as well as methods robust to weak identification. Special attention is devoted to the question of hypothesis testing in the presence of weak identification.
Handbook Of Applied Economic Statistics
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Author : Aman Ullah
language : en
Publisher: CRC Press
Release Date : 1998-02-03
Handbook Of Applied Economic Statistics written by Aman Ullah and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-02-03 with Business & Economics categories.
This work examines theoretical issues, as well as practical developments in statistical inference related to econometric models and analysis. This work offers discussions on such areas as the function of statistics in aggregation, income inequality, poverty, health, spatial econometrics, panel and survey data, bootstrapping and time series.
Computer Aided Econometrics
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Author : David E. A. Giles
language : en
Publisher: CRC Press
Release Date : 2003-06-18
Computer Aided Econometrics written by David E. A. Giles and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-06-18 with Mathematics categories.
Emphasizing the impact of computer software and computational technology on econometric theory and development, this text presents recent advances in the application of computerized tools to econometric techniques and practices—focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.
Handbook Of Macroeconomics
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Author : John B. Taylor
language : en
Publisher: Elsevier
Release Date : 2016-11-12
Handbook Of Macroeconomics written by John B. Taylor and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-12 with Business & Economics categories.
Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved
Finite Sample Econometrics
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Author : Aman Ullah
language : en
Publisher: OUP Oxford
Release Date : 2004-05-20
Finite Sample Econometrics written by Aman Ullah and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-05-20 with Social Science categories.
This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their applications to models covered in a first year graduate course in econometrics, including repression functions, dynamic models, forecasting, simultaneous equations models, panel data models, and censored models. Both linear and nonlinear models, as well as models with normal and non-normal errors, are studied. Finite sample results are extremely useful for applied researchers doing proper econometric analysis with small or moderately large sample data. Finite sample econometrics also provides the results for very large (asymptotic) samples. This book provides simple and intuitive presentations of difficult concepts, unified and heuristic developments of methods, and applications to various econometric models. It provides a new perspective on teaching and research in econometrics, statistics, and other applied subjects.
Econometrics And The Philosophy Of Economics
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Author : Bernt P. Stigum
language : en
Publisher: Princeton University Press
Release Date : 2015-12-29
Econometrics And The Philosophy Of Economics written by Bernt P. Stigum and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-29 with Business & Economics categories.
As most econometricians will readily agree, the data used in applied econometrics seldom provide accurate measurements for the pertinent theory's variables. Here, Bernt Stigum offers the first systematic and theoretically sound way of accounting for such inaccuracies. He and a distinguished group of contributors bridge econometrics and the philosophy of economics--two topics that seem worlds apart. They ask: How is a science of economics possible? The answer is elusive. Economic theory seems to be about abstract ideas or, it might be said, about toys in a toy community. How can a researcher with such tools learn anything about the social reality in which he or she lives? This book shows that an econometrician with the proper understanding of economic theory and the right kind of questions can gain knowledge about characteristic features of the social world. It addresses varied topics in both classical and Bayesian econometrics, offering ample evidence that its answer to the fundamental question is sound. The first book to comprehensively explore economic theory and econometrics simultaneously, Econometrics and the Philosophy of Economics represents an authoritative account of contemporary economic methodology. About a third of the chapters are authored or coauthored by Heather Anderson, Erik Biørn, Christophe Bontemps, Jeffrey A. Dubin, Harald E. Goldstein, Clive W.J. Granger, David F. Hendry, Herman Ruge-Jervell, Dale W. Jorgenson, Hans-Martin Krolzig, Nils Lid Hjort, Daniel L. McFadden, Grayham E. Mizon, Tore Schweder, Geir Storvik, and Herman K. van Dijk.
Essays In Honor Of Aman Ullah
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Author : R. Carter Hill
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-06-29
Essays In Honor Of Aman Ullah written by R. Carter Hill 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 2016-06-29 with Business & Economics categories.
Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career.