Constructing Instruments for Regressions With Measurement Error When no Additional Data are Available, with An Application to Patents and R&amp;D

Lewbel, Arthur

doi:10.2307/2171884

Cited by 387 publications

(259 citation statements)

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“…As consistent residuals are not available for the primary equation, the conditional variance function for this equation and the parameters of interest are 6 These residuals could be obtained in a more general nonparametric or semiparametric regression. 7 As discussed below, identi…cation also holds under a nonparametric formulation.…”

Section: The Primary Equationmentioning

confidence: 99%

Estimating a class of triangular simultaneous equations models without exclusion restrictions

Klein

Vella

2010

Journal of Econometrics

155

123

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Estimating a Class of Triangular Simultaneous Equations Models without Exclusion RestrictionsRoger Klein Francis Vella The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science, politics and business. IZA is an independent nonprofit company supported by Deutsche Post World Net. The center is associated with the University of Bonn and offers a stimulating research environment through its research networks, research support, and visitors and doctoral programs. IZA engages in (i) original and internationally competitive research in all fields of labor economics, (ii) development of policy concepts, and (iii) dissemination of research results and concepts to the interested public. D I S C U S S I O N P A P E R S E R I E SIZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author. ABSTRACT Estimating a Class of Triangular Simultaneous Equations Models Without Exclusion Restrictions *This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well. JEL Classification:C14, C30

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Section: The Primary Equationmentioning

confidence: 99%

Estimating a class of triangular simultaneous equations models without exclusion restrictions

Klein

Vella

2010

Journal of Econometrics

155

123

View full text Add to dashboard Cite

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“…The performance of the LA has been demonstrated by previous research in economics and health economics (Lewbel 1997(Lewbel , 2012Ebbes et al 2009;Emran & Shilpi 2012;Denny & Oppedisano 2013;Huang & Xie 2013; for an overview…”

Section: Appendixmentioning

confidence: 94%

“…So far, several different IV methods have been developed (Ebbes et al 2009;Park & Gupta 2012, 568;Lewbel 2012, 67). One of these is the instrument free Lewbel's approach (LA) (Lewbel 1997(Lewbel , 2012. This approach has the advantage that it does not require any variables (instruments) replacing any endogenous covariates.…”

Section: Appendixmentioning

confidence: 99%

The Interplay of Family Systems, Social Networks and Fertility in Europe Cohorts Born Between 1920 and 1960

Mönkediek¹,

Bras²

2016

Economic History of Developing Regions

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Despite important variations in regional family systems, little research has been done to assess the effects of these differences on fertility and thus on families' economic status. Even less attention has been paid to the effects of deviating from these regionally embedded norms in terms of network compositions. People's social networks may not conform to the region's view of the ideal family, while this could have important implications for their fertility behaviour. To fill this knowledge 136 gap, this paper aims to answer two questions: to what extent do family systems shape family size, and to what extent do deviations from regional family system norms in terms of social network composition result in differences in completed fertility? To answer these questions, we use the first two waves of the 'Survey of Health, Aging and Retirement' and derive indicators describing regional family systems and people's social networks. We test the influence of these covariates on the completed fertility of cohorts born between 1920 and 1960 in 13 European countries. Our results show that family system norms, and deviations from them in terms of specific social networks, play an important role in determining family size.

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“…Given (4), Z t 1 is a valid set of instruments for Y 2 t 1 in (2) provided that E Y 3 t 6 = 0 (see Lewbel, 1997, where skewness is also used to de…ne valid instruments in a measurement error context). The appeal of a simple estimator based on Z t 1 is analogous to the appeal of the (second-order) autocovariance estimator of Baillie and Chung: by being …t to a particular empirical feature of the data (in this instance, a set of cross-order covariances that map to skewness in the underlying returns), this estimator, too, might perform well against the QMLE in instances where this feature strays from what is predicted under normality.…”

Section: Background and Motivationmentioning

confidence: 99%

Simple Estimators for ARCH Models

Prono

2016

FEDS

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Covariances between contemporaneous squared values and lagged levels form the basis for closed-form instrumental variables estimators of ARCH processes. These simple estimators rely on asymmetry for identi…cation (either in the model's rescaled errors or the conditional variance function) and apply to threshold ARCH(1) and ARCH(p) with p < 1 processes. Limit theory for these estimators is established in the case where the ARCH processes are regularly varying with a well-de…ned third and sixth moment of the raw returns and rescaled errors, respectively. The resulting limits are highly non-normal in empirically relevant cases, with slow rates of convergence relative to the thin-tailed p n-case. Nevertheless, Monte Carlo studies of a heavy-tailed ARCH(1) process show the simple IV estimator to outperform standard QMLE in (relatively) small samples when the data are (heavily) skewed. Methods for determining con…dence intervals for the ARCH estimates are also discussed.

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Constructing Instruments for Regressions With Measurement Error When no Additional Data are Available, with An Application to Patents and R&D

Cited by 387 publications

References 0 publications

Estimating a class of triangular simultaneous equations models without exclusion restrictions

Estimating a class of triangular simultaneous equations models without exclusion restrictions

The Interplay of Family Systems, Social Networks and Fertility in Europe Cohorts Born Between 1920 and 1960

Simple Estimators for ARCH Models

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