Inverting the indirect—The ellipse and the boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares

Hirschberg, Joe; Lye, Jenny

doi:10.1016/j.jeconom.2017.05.008

Cited by 4 publications

(4 citation statements)

References 35 publications

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“…This would imply that we can reject the hypothesis that the parameter estimate is less than or equal to zero but there is no limit to the parameter estimate in the positive direction. A more thorough discussion of this result is available in Hirschberg and Lye ().…”

Section: Econometric Applicationsmentioning

confidence: 93%

“…Furthermore, when the ILS estimator is the ratio of two parameter estimates from equations that are estimated using seemingly unrelated regressions (SUR) the Delta CI is equivalent to the CI from the usual 2SLS estimation procedure. Hirschberg and Lye () examine the Delta and Fieller CIs for the 2SLS/IV estimator of the coefficient of the endogenous regressor under these conditions.…”

Section: Econometric Applicationsmentioning

confidence: 99%

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Ratios of Parameters: Some Econometric Examples

Lye¹,

Hirschberg²

2018

Australian Economic Review

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Ratios of parameter estimates are often used in econometric applications. However, constructing confidence intervals (CIs) for these ratios can cause difficulties since the ratio of asymptotically normally distributed random variables are Cauchy distributed and thus have no finite moments. This article presents a method for the estimation of CIs based on the Fieller approach that has been shown to be preferable to the usual Delta method. Using example applications in Stata and R, we demonstrate that a few extra steps in the examination of the estimate of the ratio can provide a CI with superior coverage.

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Section: Econometric Applicationsmentioning

confidence: 93%

Section: Econometric Applicationsmentioning

confidence: 99%

Ratios of Parameters: Some Econometric Examples

Lye¹,

Hirschberg²

2018

Australian Economic Review

Self Cite

View full text Add to dashboard Cite

show abstract

Section: Indirect Least Squares As Two Stage Least Squaresmentioning

confidence: 97%

“…Furthermore, when the ILS estimator is the ratio of two parameter estimates from equations that are estimated using seemingly unrelated regressions (SUR) the Delta CI is equivalent to the CI from the usual 2SLS estimation procedure. Hirschberg and Lye (2017) examine the Delta and Fieller CIs for the 2SLS/IV estimator of the coefficient of the endogenous regressor under these conditions.…”

Section: Indirect Least Squares As Two Stage Least Squaresmentioning

confidence: 99%