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Instrumental variable with interactive fixed effects
(2020-05-28)
The biggest challenge of the instrumental variable model is finding a valid instrument, one that satisfies the assumptions of relevance and, especially, exogeneity. To impose a less restrictive assumption, some estimators ...
Tests based on t-statistics for IV regression with weak instruments
(Elsevier Science Sa, 2014-10)
This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional ...
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
(2008)
As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., ...
Multivariate Spatial IV Regression
(Sociedade Brasileira de Econometria, 2019)
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems
(Escola de Pós-Graduação em Economia da FGV, 1998-08-01)
This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator ...
IV Estimation with weak instrument s: an application to the determinants of school attainment in Peru
(PUCP, 2008)
The instrumental variables (IV) method has recently become widely popular in applied
econometrics. However, recent work in the literature has shown that if instruments do not hold the relevance and exogeneity conditions ...
Fuzzy instrumental variable approach for nonlinear discrete-time systems identification in a noisy environment
(Elsevier Science BvAmsterdamHolanda, 2009)
Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-05-21)
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average ...
An IV-QR algorithm for neuro-fuzzy multivariable online identification
(Ieee-inst Electrical Electronics Engineers IncPiscatawayEUA, 2007)