最優(yōu)線性工具變量逼近

是 否 +2 論壇幣

k人 參與回答

經(jīng)管之家送您一份

應(yīng)屆畢業(yè)生專(zhuān)屬福利!

求職就業(yè)群

趙安豆老師微信：zhaoandou666

經(jīng)管之家聯(lián)合CDA

送您一個(gè)全額獎(jiǎng)學(xué)金名額~ !

立即領(lǐng)取

感謝您參與論壇問(wèn)題回答

經(jīng)管之家送您兩個(gè)論壇幣！

+2 論壇幣

摘要翻譯：
本文研究一類(lèi)結(jié)構(gòu)回歸函數(shù)的最優(yōu)線性逼近的辨識(shí)與估計(jì)。線性逼近中的參數(shù)稱(chēng)為最優(yōu)線性工具變量逼近(OLIVA)。本文證明了OLIVA標(biāo)準(zhǔn)推論的一個(gè)必要條件也是線性模型中IV估計(jì)存在的充分條件。該工具在IV估計(jì)和未知，可能無(wú)法識(shí)別。提出了一種基于Tikhonov正則化的兩步IV(TSIV)估計(jì)器，該估計(jì)器可以用標(biāo)準(zhǔn)回歸程序?qū)崿F(xiàn)。我們建立了TSIV估計(jì)量的漸近正態(tài)性，并假定儀器既不完備也不可辨識(shí)。作為我們分析的一個(gè)重要應(yīng)用，我們對(duì)經(jīng)典的Hausman外源性檢驗(yàn)對(duì)線性結(jié)構(gòu)模型的錯(cuò)誤描述進(jìn)行了魯棒化。我們還討論了加權(quán)最小二乘準(zhǔn)則的推廣。蒙特卡羅模擬表明，所提出的推論具有優(yōu)良的有限樣本性能。最后，在用美國(guó)數(shù)據(jù)估計(jì)跨期替代彈性(EIS)的經(jīng)驗(yàn)應(yīng)用中，我們得到了比它們的標(biāo)準(zhǔn)IV對(duì)應(yīng)項(xiàng)大得多的TSIV估計(jì)，而我們的魯棒Hausman檢驗(yàn)未能拒絕實(shí)際利率外源性的無(wú)效假設(shè)。
---
英文標(biāo)題：
《Optimal Linear Instrumental Variables Approximations》
---
作者：
Juan Carlos Escanciano and Wei Li
---
最新提交年份：
2020
---
分類(lèi)信息：

一級(jí)分類(lèi)：Economics        經(jīng)濟(jì)學(xué)
二級(jí)分類(lèi)：Econometrics        計(jì)量經(jīng)濟(jì)學(xué)
分類(lèi)描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
計(jì)量經(jīng)濟(jì)學(xué)理論，微觀計(jì)量經(jīng)濟(jì)學(xué)，宏觀計(jì)量經(jīng)濟(jì)學(xué)，通過(guò)新方法發(fā)現(xiàn)的經(jīng)濟(jì)關(guān)系的實(shí)證內(nèi)容，統(tǒng)計(jì)推論應(yīng)用于經(jīng)濟(jì)數(shù)據(jù)的方法論方面。
--

---
英文摘要：
  This paper studies the identification and estimation of the optimal linear approximation of a structural regression function. The parameter in the linear approximation is called the Optimal Linear Instrumental Variables Approximation (OLIVA). This paper shows that a necessary condition for standard inference on the OLIVA is also sufficient for the existence of an IV estimand in a linear model. The instrument in the IV estimand is unknown and may not be identified. A Two-Step IV (TSIV) estimator based on Tikhonov regularization is proposed, which can be implemented by standard regression routines. We establish the asymptotic normality of the TSIV estimator assuming neither completeness nor identification of the instrument. As an important application of our analysis, we robustify the classical Hausman test for exogeneity against misspecification of the linear structural model. We also discuss extensions to weighted least squares criteria. Monte Carlo simulations suggest an excellent finite sample performance for the proposed inferences. Finally, in an empirical application estimating the elasticity of intertemporal substitution (EIS) with US data, we obtain TSIV estimates that are much larger than their standard IV counterparts, with our robust Hausman test failing to reject the null hypothesis of exogeneity of real interest rates.
---
PDF鏈接：
https://arxiv.org/pdf/1805.03275

掃碼加我 拉你入群

請(qǐng)注明：姓名-公司-職位

以便審核進(jìn)群資格，未注明則拒絕

分享0 收藏0 回帖

關(guān)鍵詞：工具變量 性工具 econometrics instrumental substitution 應(yīng)用 Instrumental 假定 完備 檢驗(yàn)