Instrumental variables estimation of heteroskedastic linear models using all lags of instruments:
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and ser...
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
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| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13134 |
| Links: | http://papers.nber.org/papers/w13134.pdf |
| Zusammenfassung: | We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and serial correlation of the disturbance. Use of parametric models allows one to exploit information in all lags of instruments, unconstrained by degrees of freedom limitations. Analytical calculations and simulations indicate that there sometimes are large asymptotic and finite sample efficiency gains relative to conventional estimators (Hansen (1982)), and modest gains or losses depending on data generating process and sample size relative to quasi-maximum likelihood. These results are robust to minor misspecification of the parametric models used by our estimator. |
| Umfang: | 24, [9] S. graph. Darst. 22 cm |
Internformat
MARC
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| 100 | 1 | |a West, Kenneth D. |e Verfasser |0 (DE-588)123909066 |4 aut | |
| 245 | 1 | 0 | |a Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |c Kenneth D. West ; Ka-fu Wong ; Stanislav Anatolyev |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13134 | |
| 520 | 8 | |a We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and serial correlation of the disturbance. Use of parametric models allows one to exploit information in all lags of instruments, unconstrained by degrees of freedom limitations. Analytical calculations and simulations indicate that there sometimes are large asymptotic and finite sample efficiency gains relative to conventional estimators (Hansen (1982)), and modest gains or losses depending on data generating process and sample size relative to quasi-maximum likelihood. These results are robust to minor misspecification of the parametric models used by our estimator. | |
| 700 | 1 | |a Wong, Ka-fu |e Verfasser |0 (DE-588)133432262 |4 aut | |
| 700 | 1 | |a Anatolyev, Stanislav |d 1969- |e Verfasser |0 (DE-588)133432289 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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Datensatz im Suchindex
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| author | West, Kenneth D. Wong, Ka-fu Anatolyev, Stanislav 1969- |
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| format | Book |
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| id | DE-604.BV023593044 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908374 |
| oclc_num | 255496474 |
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| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 24, [9] S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | West, Kenneth D. Verfasser (DE-588)123909066 aut Instrumental variables estimation of heteroskedastic linear models using all lags of instruments Kenneth D. West ; Ka-fu Wong ; Stanislav Anatolyev Cambridge, Mass. National Bureau of Economic Research 2007 24, [9] S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13134 We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right hand side variables onto the instrument space, and for conditional heteroskedasticity and serial correlation of the disturbance. Use of parametric models allows one to exploit information in all lags of instruments, unconstrained by degrees of freedom limitations. Analytical calculations and simulations indicate that there sometimes are large asymptotic and finite sample efficiency gains relative to conventional estimators (Hansen (1982)), and modest gains or losses depending on data generating process and sample size relative to quasi-maximum likelihood. These results are robust to minor misspecification of the parametric models used by our estimator. Wong, Ka-fu Verfasser (DE-588)133432262 aut Anatolyev, Stanislav 1969- Verfasser (DE-588)133432289 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13134 (DE-604)BV002801238 13134 http://papers.nber.org/papers/w13134.pdf kostenfrei Volltext |
| spellingShingle | West, Kenneth D. Wong, Ka-fu Anatolyev, Stanislav 1969- Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| title | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| title_auth | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| title_exact_search | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| title_full | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments Kenneth D. West ; Ka-fu Wong ; Stanislav Anatolyev |
| title_fullStr | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments Kenneth D. West ; Ka-fu Wong ; Stanislav Anatolyev |
| title_full_unstemmed | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments Kenneth D. West ; Ka-fu Wong ; Stanislav Anatolyev |
| title_short | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| title_sort | instrumental variables estimation of heteroskedastic linear models using all lags of instruments |
| url | http://papers.nber.org/papers/w13134.pdf |
| volume_link | (DE-604)BV002801238 |
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