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Author: Bryan S. Graham Publisher: ISBN: Category : Economics Languages : en Pages : 64
Book Description
In this paper we study identification and estimation of the causal effect of a small change in an endogenous regressor on a continuously-valued outcome of interest using panel data. We focus on the average partial effect (APE) over the full population distribution of unobserved heterogeneity (e.g., Chamberlain, 1984; Blundell and Powell, 2003; Wooldridge, 2005a). In our basic model the outcome of interest varies linearly with a (scalar) regressor, but with an intercept and slope coefficient that may vary across units and over time in a way which depends on the regressor. This model is a special case of Chamberlain's (1980b, 1982, 1992a) correlated random coefficients (CRC) model, but not does not satisfy the regularity conditions he imposes. Irregularity, while precluding estimation at parametric rates, does not result in a loss of identification under mild smoothness conditions. We show how two measures of the outcome and regressor for each unit are sufficient for identification of the APE as well as aggregate time trends. We identify aggregate trends using units with a zero first difference in the regressor or, in the language of Chamberlain (1980b, 1982), 'stayers' and the average partial effect using units with non-zero first differences or 'movers'. We discuss extensions of our approach to models with multiple regressors and more than two time periods. We use our methods to estimate the average elasticity of calorie consumption with respect to total outlay for a sample of poor Nicaraguan households (cf., Strauss and Thomas, 1995; Subramanian and Deaton, 1996). Our CRC average elasticity estimate declines with total outlay more sharply than its parametric counterpart.
Author: Bryan S. Graham Publisher: ISBN: Category : Economics Languages : en Pages : 64
Book Description
In this paper we study identification and estimation of the causal effect of a small change in an endogenous regressor on a continuously-valued outcome of interest using panel data. We focus on the average partial effect (APE) over the full population distribution of unobserved heterogeneity (e.g., Chamberlain, 1984; Blundell and Powell, 2003; Wooldridge, 2005a). In our basic model the outcome of interest varies linearly with a (scalar) regressor, but with an intercept and slope coefficient that may vary across units and over time in a way which depends on the regressor. This model is a special case of Chamberlain's (1980b, 1982, 1992a) correlated random coefficients (CRC) model, but not does not satisfy the regularity conditions he imposes. Irregularity, while precluding estimation at parametric rates, does not result in a loss of identification under mild smoothness conditions. We show how two measures of the outcome and regressor for each unit are sufficient for identification of the APE as well as aggregate time trends. We identify aggregate trends using units with a zero first difference in the regressor or, in the language of Chamberlain (1980b, 1982), 'stayers' and the average partial effect using units with non-zero first differences or 'movers'. We discuss extensions of our approach to models with multiple regressors and more than two time periods. We use our methods to estimate the average elasticity of calorie consumption with respect to total outlay for a sample of poor Nicaraguan households (cf., Strauss and Thomas, 1995; Subramanian and Deaton, 1996). Our CRC average elasticity estimate declines with total outlay more sharply than its parametric counterpart.
Author: Emmanouil Kitsios Publisher: International Monetary Fund ISBN: 1484397371 Category : Business & Economics Languages : en Pages : 51
Book Description
We estimate the average fiscal multiplier, allowing multipliers to be heterogeneous across countries or over time and correlated with the size of government spending. We demonstrate that this form of nonseparable unobserved heterogeneity is empirically relevant and address it by estimating a correlated random coefficient model. Using a panel dataset of 127 countries over the period 1994-2011, we show that not accounting for omitted heterogeneity produces a significant downward bias in conventional multiplier estimates. We rely on both crosssectional and time-series variation in spending shocks, exploiting the differential effects of oil price shocks on fuel subsidies, to identify the average government spending multiplier. Our estimates of the average multiplier range between 1.4 and 1.6.
Author: Xiaohong Chen Publisher: Springer Science & Business Media ISBN: 1461416531 Category : Business & Economics Languages : en Pages : 582
Book Description
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Author: Bryan Graham Publisher: Academic Press ISBN: 0128117729 Category : Business & Economics Languages : en Pages : 246
Book Description
The Econometric Analysis of Network Data serves as an entry point for advanced students, researchers, and data scientists seeking to perform effective analyses of networks, especially inference problems. It introduces the key results and ideas in an accessible, yet rigorous way. While a multi-contributor reference, the work is tightly focused and disciplined, providing latitude for varied specialties in one authorial voice. - Answers both 'why' and 'how' questions in network analysis, bridging the gap between practice and theory allowing for the easier entry of novices into complex technical literature and computation - Fully describes multiple worked examples from the literature and beyond, allowing empirical researchers and data scientists to quickly access the 'state of the art' versioned for their domain environment, saving them time and money - Disciplined structure provides latitude for multiple sources of expertise while retaining an integrated and pedagogically focused authorial voice, ensuring smooth transition and easy progression for readers - Fully supported by companion site code repository - 40+ diagrams of 'networks in the wild' help visually summarize key points
Author: Cheng Hsiao Publisher: Cambridge University Press ISBN: 1009076604 Category : Business & Economics Languages : en Pages : 539
Book Description
Now in its fourth edition, this comprehensive introduction of fundamental panel data methodologies provides insights on what is most essential in panel literature. A capstone to the forty-year career of a pioneer of panel data analysis, this new edition's primary contribution will be the coverage of advancements in panel data analysis, a statistical method widely used to analyze two or higher-dimensional panel data. The topics discussed in early editions have been reorganized and streamlined to comprehensively introduce panel econometric methodologies useful for identifying causal relationships among variables, supported by interdisciplinary examples and case studies. This book, to be featured in Cambridge's Econometric Society Monographs series, has been the leader in the field since the first edition. It is essential reading for researchers, practitioners and graduate students interested in the analysis of microeconomic behavior.
Author: Publisher: ScholarlyEditions ISBN: 1490109501 Category : Business & Economics Languages : en Pages : 1193
Book Description
Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Author: Yves Croissant Publisher: John Wiley & Sons ISBN: 1118949188 Category : Mathematics Languages : en Pages : 435
Book Description
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Author: Jeffrey Racine Publisher: Oxford University Press ISBN: 0199857946 Category : Business & Economics Languages : en Pages : 562
Book Description
This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.
Author: Serge Darolles Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The focus of the paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions stemming from a structural econometric model: E [Y - f (Z) | W] = 0, and involving endogenous variables Y and Z and instruments W. The function f is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyses identification and overidentification of this model and presents asymptotic properties of the estimated nonparametric instrumental regression function.
Author: Bryan S. Graham
Author: Bryan S. Graham
Author: Emmanouil Kitsios
Author: Xiaohong Chen
Author: Bryan Graham
Author: Cheng Hsiao
Author: 
Author: Qaiser Abbas
Author: Yves Croissant
Author: Jeffrey Racine
Author: Serge Darolles