最優(yōu)線性工具變量逼近

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摘要翻譯：
本文研究一類結(jié)構(gòu)回歸函數(shù)的最優(yōu)線性逼近的辨識與估計。線性逼近中的參數(shù)稱為最優(yōu)線性工具變量逼近(OLIVA)。本文證明了OLIVA標(biāo)準(zhǔn)推論的一個必要條件也是線性模型中IV估計存在的充分條件。該工具在IV估計和未知，可能無法識別。提出了一種基于Tikhonov正則化的兩步IV(TSIV)估計器，該估計器可以用標(biāo)準(zhǔn)回歸程序?qū)崿F(xiàn)。我們建立了TSIV估計量的漸近正態(tài)性，并假定儀器既不完備也不可辨識。作為我們分析的一個重要應(yīng)用，我們對經(jīng)典的Hausman外源性檢驗對線性結(jié)構(gòu)模型的錯誤描述進行了魯棒化。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，在用美國數(shù)據(jù)估計跨期替代彈性(EIS)的經(jīng)驗應(yīng)用中，我們得到了比它們的標(biāo)準(zhǔn)IV對應(yīng)項大得多的TSIV估計，而我們的魯棒Hausman檢驗未能拒絕實際利率外源性的無效假設(shè)。
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英文標(biāo)題：
《Optimal Linear Instrumental Variables Approximations》
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作者：
Juan Carlos Escanciano and Wei Li
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最新提交年份：
2020
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分類信息：

一級分類：Economics        經(jīng)濟學(xué)
二級分類：Econometrics        計量經(jīng)濟學(xué)
分類描述：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.
計量經(jīng)濟學(xué)理論，微觀計量經(jīng)濟學(xué)，宏觀計量經(jīng)濟學(xué)，通過新方法發(fā)現(xiàn)的經(jīng)濟關(guān)系的實證內(nèi)容，統(tǒng)計推論應(yīng)用于經(jīng)濟數(shù)據(jù)的方法論方面。
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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.
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PDF鏈接：
https://arxiv.org/pdf/1805.03275

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