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Nonseparable Panel Data Models Identification Estimation And Testing
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Book Synopsis Nonseparable Panel Data Models Identification, Estimation and Testing by : Dalia A. Ghanem
Download or read book Nonseparable Panel Data Models Identification, Estimation and Testing written by Dalia A. Ghanem and published by . This book was released on 2013 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Microeconomic panel data, also known as longitudinal data or repeated measures, allow the researcher to observe the same individual across time. One of the advantages of panel data is that they allow the researcher to control for unobservable individual heterogeneity. The linear fixed effects model is the most commonly used method in empirical work to control for unobservable heterogeneity. Chapter 1 reviews the special features of the linear fixed effects model in detail, giving special attention to the definition of fixed effects and correlated random effects. It discusses the issues that arise when we move from a linear model to fully nonseparable models and reviews the two strands of the literature that are relevant for this dissertation: (1) the literature on nonlinear parametric panel data models with fixed effects, (2) the literature on nonparametric identification in nonseparable panel data models. Chapter 2 falls under the parametric nonlinear panel data models with fixed effects. Nonlinear panel data models with fixed effects are an important example in econometrics where the incidental parameter problem arises and the maximum likelihood estimator (MLE) is asymptotically biased. Bias correction of the MLE achieves consistency without increasing the asymptotic variance. Chapter 2 proposes a shrinkage estimator that combines that is shown to lead to a higher-order mean-square error improvement over the analytical bias-corrected estimator. Chapter 3 falls under the literature on nonparametric identification in nonseparable panel data models. Starting from a general DGP that exhibits nonseparability of the structural function, arbitrary individual and time heterogeneity, I give a necessary and sufficient condition for the point-identification of the APE for a subpopulation. This condition is then used to characterize the trade-off between assumptions on unobservable heterogeneity and the structural function that achieve identification. The identifying assumptions here have clear testable implications on the distribution of observables. I hence propose bootstrap-adjusted Kolmogorv-Smirnov and Cramer-von-Mises statistics to test these implications. Chapter 4 is an empirical paper that studies the issue of manipulation of air pollution data by Chinese cities. It applies tests similar in spirit to the tests proposed in Chapter 3 to test the presence of manipulation.
Book Synopsis Identification and Estimation of Nonseparable Single-index Models in Panel Data with Correlated Random Effects by : Pavel Čížek
Download or read book Identification and Estimation of Nonseparable Single-index Models in Panel Data with Correlated Random Effects written by Pavel Čížek and published by . This book was released on 2013 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Book Synopsis Handbook of Empirical Economics and Finance by : Aman Ullah
Download or read book Handbook of Empirical Economics and Finance written by Aman Ullah and published by CRC Press. This book was released on 2016-04-19 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
Book Synopsis Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics by :
Download or read book Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics written by and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Panel Data Econometrics by : Mike Tsionas
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-19 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Book Synopsis Panel Data Estimators for Nonseparable Models with Endogenous Regressors by : Joseph G. Altonji
Download or read book Panel Data Estimators for Nonseparable Models with Endogenous Regressors written by Joseph G. Altonji and published by . This book was released on 2001 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose two new estimators for a wide class of panel data models with nonseparable error terms and endogenous explanatory variables. The first estimator covers qualitative choice models and both estimators cover models with continuous dependent variables. The first estimator requires the existence of a vector z such that the density of the error term does not depend on the explanatory variables once one conditions on z. In some panel data cases we may find z by making the assumption that the distribution of the error term conditional on the vector of the explanatory variables for each cross-section' unit in the panel is exchangeable in the values of those explanatory variables. This situation may be realistic, in particular, when each unit is a group of individuals, so that the observations are across groups and for different individuals in each group. The basic idea is to first estimate the slope of the mean of the dependent variable conditional on both the explanatory variable and z and then undo the effect of conditioning on z by taking the average of the slope over the distribution of z conditional on a particular value of the explanatory variable. We also extend the procedure to the case in which the explanatory variable is endogenous conditional on z but an instrumental variable is available. The second estimator is based on the assumption that the error distribution is exchangeable in the explanatory variables of each unit. It applies to models that are monotone in the error term. A shift in the value of an explanatory variable for member 1 of a group has both a direct effect on the distribution of the dependent variable for member 1 and an indirect effect through the distribution of the error. A shift in the explanatory variable has an indirect effect on the dependent variable for other members of the panel but no direct effect. We isolate the direct effect by comparing the effect of the explanatory variable on the distribution of the dependent variable for member 1 to its effect on
Book Synopsis Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis by : Xiaohong Chen
Download or read book Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Book Synopsis Microeconometrics by : Steven Durlauf
Download or read book Microeconometrics written by Steven Durlauf and published by Springer. This book was released on 2016-06-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Estimating Panel Data Models with Endogeneity and Selection by : Anastasia Semykina
Download or read book Estimating Panel Data Models with Endogeneity and Selection written by Anastasia Semykina and published by . This book was released on 2006 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Econometrics: Nonparametrics and Robustness by : Benjamin William Deaner
Download or read book Essays in Econometrics: Nonparametrics and Robustness written by Benjamin William Deaner and published by . This book was released on 2021 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heterogeneity and my key identifying assumptions follow from restrictions on the serial dependence structure.
Book Synopsis Estimation and Specification Testing of Panel Data Modelswith Non-ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics by : Vassilis Argyrou Hajivassiliou
Download or read book Estimation and Specification Testing of Panel Data Modelswith Non-ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics written by Vassilis Argyrou Hajivassiliou and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Econometric Society. World Congress Publisher :Cambridge University Press ISBN 13 :9780521524131 Total Pages :316 pages Book Rating :4.5/5 (241 download)
Book Synopsis Advances in Economics and Econometrics by : Econometric Society. World Congress
Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2003-01-20 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sample Text
Book Synopsis The New Palgrave Dictionary of Economics by :
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Book Synopsis Essays on Nonparametric Structural Econometrics by : Zhutong Gu
Download or read book Essays on Nonparametric Structural Econometrics written by Zhutong Gu and published by . This book was released on 2017 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation contains three papers in the theory and applications of nonparametric structural econometrics. In chapter 1, I propose a nonparametric test for additive separability of unobservables of unrestricted dimensions with average structural functions. Chapter 2 considers identification and estimation of fully nonparametric production functions and empirically tests for the Hicks-neutral productivity shocks, a direct application of the test proposed in chapter 1. In chapter 3, my authors and I study the semiparametric ordered response models with correlated unobserved thresholds and investigate the issue of corporate bond rating biases due to the sharing of common investors between bond-issuing firms and credit rating agencies. Brief abstracts are presented in order below. Additive separability between observables and unobservables is one of the essential properties in structural modeling of heterogeneity in the presence of endogeneity. In this chapter, I propose an easy-to-compute test based on empirical quantile mean differences between the average structural functions (ASFs) generated by nonparametric nonseparable and separable models with unrestricted heterogeneity. Given identification, I establish conditions under which structural additivity can be linked to the equality of ASFs derived from the two commonly employed competing specifications. I estimate the reduced form regressions by Nadaraya-Watson estimators and control for the asymptotic bias. I show that the asymptotic test statistic follows a central Chi-squred distribution under the null hypothesis and has power against a sequence of root N-local alternatives. The proposed test statistic works well in a series of finite sample simulations with analytic variances, alleviating the computational burden often involved in bootstrapped inferences. I also show that the test can be straightforwardly extended to semiparametric models, panel data and triangular simultaneous equations frameworks. Hicks-neutral technology implies the substitution pattern of labor and capital in a production function is not affected by technological shocks, first put forth by John Hicks in 1932. In this chapter, I consider the identification and estimation of fully nonparametric firm-level production functions and empirically test the Hicks-neutral productivity in the U.S. manufacturing industry during the period from 1990 to 2011. Firstly, I extend the proxy variable approach to fully nonparametric settings and propose a robust estimator of average output elasticities in non-Hick-neutral scenarios. Secondly, I show that the Hicks-neutral restriction can be converted to the additive separability between inputs and unobservables in a monotonic transformed model for which the proposed testing procedure can be directly applied. It turns out that there is substantial heterogeneity in the nonparametric output elasticities over various counterfactual input amounts. I also find that there were periods in the 90s when the non-Hicks technological shocks occur which coincide with the mass adoption of computing technology. However, the productivity has thereafter become Hicks-neutral into the 2000s. Controlling for sector-specific effects mitigate the non-Hicks-neutrality to some extend. Previous literature on bond rating indicates that credit rating agencies (CRAs) may assign favorable ratings to bond-issuing firms that have a closer relationship. This not only implies the existence of firm-specific unobserved heterogeneity in the rating criteria but also makes some bond/firm characteristics endogenous, which is confirmed by our empirical results. In this chapter, my coauthors and I propose a semiparametric two-step index and location estimator of ordered response models that explicitly incorporates endogenous regressors and correlated random thresholds. We apply our model in the application of assessing bond rating bias of credit rating agencies. Methodologically, we first show that the heterogeneous relative thresholds can be identified using conditional shift restrictions in conjunction with the control variables for the firm-CRA liaison. Then, we illustrate the estimation strategy in a heuristic manner and derive the asymptotic properties of the suggested estimator. In the application, we find significant overrating bias through varying thresholds as the liaison strengthens and those biases display heterogeneous patterns with respect to rating categories.
Book Synopsis Nonparametric Econometrics by : Qi Li
Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2023-07-18 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Spatial Econometrics by : J. Paul Elhorst
Download or read book Spatial Econometrics written by J. Paul Elhorst and published by Springer Science & Business Media. This book was released on 2013-09-30 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.
