Nonparametric Testing For Exogeneity With Discrete Regressors And Instruments
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| Author | : Katarzyna Bech |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and instruments. Our interest is in learning about an unknown structural (conditional mean) function. An interesting feature of these models is that under endogeneity the identifying power of a discrete instrument depends on the number of support points of the instruments relative to that of the regressors, a result driven by the discreteness of the variables. Observing that the simple nonparametric additive error model can be interpreted as a linear regression, we present two test-statistics. For the point identifying model, the test is an adapted version of the standard Wu-Hausman approach. This extends the work of Blundell and Horowitz (2007) to the case of discrete regressors and instruments. For the set identifying model, the Wu-Hausman approach is not available. In this case the test-statistic is derived from a constrained minimization problem. The asymptotic distributions of the test-statistics are derived under the null and fixed and local alternatives. The tests are shown to be consistent, and a simulation study reveals that the proposed tests have satisfactory finite-sample properties.
| Author | : Qi Li |
| Publisher | : Princeton University Press |
| Total Pages | : 768 |
| Release | : 2023-07-18 |
| Genre | : Business & Economics |
| ISBN | : 0691248087 |
A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
| Author | : Xavier de Luna |
| Publisher | : |
| Total Pages | : |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Qi Li |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 570 |
| Release | : 2009-12-04 |
| Genre | : Business & Economics |
| ISBN | : 184950623X |
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
| Author | : Neil R. Ericsson |
| Publisher | : |
| Total Pages | : 436 |
| Release | : 1994 |
| Genre | : Business & Economics |
| ISBN | : 9780198774044 |
This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
| Author | : Christoph Breunig |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the vector of regressors. The tests are asymptotically normally distributed under correct specification and consistent against any alternative model. Under a sequence of local alternative hypotheses, the asymptotic distribution of the tests is derived. Moreover, uniform consistency is established over a class of alternatives whose distance to the null hypothesis shrinks appropriately as the sample size increases.
| Author | : Mehmet Caner |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Currently, the commonly employed instrumental variables strategy relies on the knife-edge assumption of perfect exogeneity for valid inference. To make reliable inferences on the structural parameters under violations of exogeneity one must know the true correlation between the structural error and the instruments. The main innovation in this paper is to identify an appropriate test in this context: a joint null hypothesis of the structural parameters with the correlation between the instruments and the structural error term. We introduce a new endogeneity accounted test by combining the structural parameter inference while correcting the bias associated with non-exogeneity of the instrument. To address inference under violations of exogeneity, significant contributions have been made in the recent literature by assuming some degree of non-exogeneity. A key advantage of our approach over that of the previous literature is that we do not need to make any assumptions about the degree of violation of exogeneity either as possible values or prior distributions. In particular, our method is not a form of sensitivity analysis. Since our test statistic is continuous and monotonic in correlation, one can conduct inference for the structural parameters by a simple grid search over correlation values. We can make accurate inferences on the structural parameters because of a feature of the grid search over correlation values. One can also build joint confidence intervals for the structural parameters and the correlation parameter by inverting the test statistic. In the inversion, the null values of these parameters are used. We also propose a new way of testing exclusion restrictions, even in the just identified case.
| Author | : Jeffrey M. Wooldridge |
| Publisher | : MIT Press |
| Total Pages | : 1095 |
| Release | : 2010-10-01 |
| Genre | : Business & Economics |
| ISBN | : 0262232588 |
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.
| Author | : |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
My dissertation consists of two chapters on nonparametric inference and model selection in econometric models. First chapter constructs inference methods for nonparametric series regression models and introduces tests based on the infimum of t-statistics over different series terms. First, I provide a uniform asymptotic theory for the t-statistic process indexed by the number of series terms. Using this result, I show that the test based on the infimum of the t-statistics and its asymptotic critical value controls the asymptotic size with the undersmoothing condition. We can construct a valid confidence interval (CI) by test statistic inversion that has correct asymptotic coverage probability. Even when asymptotic bias terms are present without the undersmoothing condition, I show that the CI based on the infimum of the t-statistics bounds the coverage distortions. In an illustrative example, nonparametric estimation of wage elasticity of the expected labor supply from Blomquist and Newey (2002), proposed CI is close to or tighter than those based on existing methods with possibly ad hoc choice of series terms. Second chapter provides instrument selection criteria in instrumental variable (IV) regression model when there is a large set of instruments with potential invalidity. Economic data identified by IV model sometimes involve large sets of potential instruments and debates about their validity. Existing methods for instrument selection are largely based on a priori assumption of an instrument's validity and/or based on the first-order asymptotics, which may lead to a large finite sample bias with many and invalid instruments. First, I derive higher-order mean square error (MSE) approximation for two-stage least squares (2SLS), limited information maximum likelihood (LIML), modified Fuller (FULL) and bias-adjusted 2SLS (B2SLS) estimator allowing locally invalid instruments. Based on the approximation to the higher-order MSE, I propose an invalidity-robust instrument selection criteria (IRC) that capture two sources of finite sample bias at the same time: bias from using many instruments and bias from invalid instruments. I also show optimality result of choice of instruments based on the criteria of Donald and Newey (2001) under certain locally invalid instruments specification.
| Author | : William Greene |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 371 |
| Release | : 2010-12-03 |
| Genre | : Business & Economics |
| ISBN | : 0857241494 |
This collection of methodological developments and applications of simulation-based methods were presented at a workshop at Louisiana State University in November, 2009. Topics include: extensions of the GHK simulator; maximum-simulated likelihood; composite marginal likelihood; and modelling and forecasting volatility in a bayesian approach.
