Endogenous Regressors and Correlated Effects

Boumahdi, Rachid; Thomas, Alban

doi:10.1007/978-3-540-75892-1_4

Cited by 6 publications

(3 citation statements)

References 37 publications

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“…The potential correlation between latent and observed variables as parameterized in Eq. (2) is sometimes denoted as endogeneity (Boumahdi and Thomas, 2007). By strengthening assumptions, assuming that the endogeneity 'modelled' by Eq.…”

Section: Econometric Modelmentioning

confidence: 99%

Competition in general practice: Prescriptions to the elderly in a list patient system

Kann

Biørn

Lurås

2010

Journal of Health Economics

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Section: Econometric Modelmentioning

confidence: 99%

Competition in general practice: Prescriptions to the elderly in a list patient system

Kann

Biørn

Lurås

2010

Journal of Health Economics

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“…As a result of this test, if the null hypothesis is rejected, it is understood that the instruments are not exogenous variables (Arellano, 2003; Boumahdi and Thomas, 2008; Bun and Windmeijer, 2010; Hayakawa, 2007; Alvarez and Arellano, 2003; Kruiniger, 2009). In this case, a robust standard error estimator can be used.…”

Section: Methodsmentioning

confidence: 99%

Dimensions of tax burden: a review on OECD countries

Çelikay

2020

JEFAS

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Purpose The tax burden, defined as the ratio of the collected taxes in a particular period against the total product, is commonly used to determine the effect of fiscal and tax policies on the socioeconomic structure. The purpose of this study is to examine how the changes in some macroeconomic indicators affect the tax burden. Design/methodology/approach System generalized method of moments approach is used for 34 Organisation for Economic Co-operation and Development (OECD) members in the period of 1993-2016. Findings Based on the research findings, variables such as income per capita, foreign trading volume, the capacity of employment, unemployment and economic share of industry sector effect tax burden in a statistically significant and positive direction. The reason that lies behind the positive effect of unemployment on tax burden is the fact that the sense of social state is not abandoned. Thus, it is predicted that the state will increase public transfer expenditures in the short term due to unemployment, this increase will impose a financial burden on the public sector both in the medium and long term and finally, there will be an increase in the tax burden. Originality/value Results in the literature suggest that there are many reasons for increasing tax burden such as socio-economic development, financial and organizational structure and the globalization process. However, according to this study, it seems that gross domestic product per capita, the size of the industry sector, openness, employment capacity and unemployment rate also have a positive and significant effect on tax burden in the long run. Ultimately, these results demonstrate that tax burden, one of the most important indicators of the public sector size in the sample of the states and period in hand, is influenced positively by all independent variables and increases slightly but surely. These results suggest that the tax state is still a determinative factor in the socioeconomic field within its taxation tools.

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“…regressors are exogenous with respect to the remainder error term ν i,t , the assumption about respective variable correlation with the unobservable individual effect µ i differs significantly: The REM assumes strict exogeneity of all regressors, while the FEM approach leaves the correlation as unknown and thus potentially different from zero. As Boumahdi & Thomas (2008) show, based on the above stated assumptions about the underlying variable correlation with the error term most panel data estimators for eq. (1) can be written in terms of a general orthogonality (moment) condition in matrix form as:…”

Section: The Model and Panel Data Estimation Techniquesmentioning

confidence: 99%

Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or Not IV?

Mitze

2009

SSRN Journal

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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. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the editors. Terms of use: Documents in AbstractWe analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous variables with the error term. A common solution in this setting is to use Instrumental-Variable (IV) estimation in the spirit of Hausman-Taylor (1981). However, some potential shortcomings of the latter approach recently gave rise to the use of non-IV two-step estimators. Given their growing number of empirical applications, we aim to systematically compare the performance of IV and non-IV approaches in the presence of time-fixed variables and right hand side endogeneity using Monte Carlo simulations, where we explicitly control for the problem of IV selection in the Hausman-Taylor case. The simulation results show that the HausmanTaylor model with perfect-knowledge about the underlying data structure (instrument orthogonality) has on average the smallest bias. However, compared to the empirically relevant specification with imperfect-knowledge and instruments chosen by statistical criteria, the non-IV rival performs equally well or even better especially in terms of estimating variable coefficients for timefixed regressors. Moreover, the non-IV method tends to have a smaller root mean square error (rmse) than both Hausman-Taylor models with perfect and imperfect knowledge about the underlying correlation between r.h.s variables and residual term. This indicates that it is generally more efficient. The results are roughly robust for various combinations in the time and cross-section dimension of the data. JEL Classification: C15, C23, C52

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Endogenous Regressors and Correlated Effects

Cited by 6 publications

References 37 publications

Competition in general practice: Prescriptions to the elderly in a list patient system

Competition in general practice: Prescriptions to the elderly in a list patient system

Dimensions of tax burden: a review on OECD countries

Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or Not IV?

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