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	Provedor de dados AgEcon (4) Autor Poi, Brian P. (3) Baum, Christopher F. (1) Mikusheva, Anna (1) Moreira, Marcelo J. (1) Schaffer, Mark E. (1) Stillman, Steven (1) Mais... Palavra-chave Instrumental variables (4) Research Methods/ Statistical Methods (4) Weak instruments (4) Endogeneity (2) LIML (2) 2SLS (1) 2SLS estimator (1) CUE (1) Condivreg (1) Confidence regions (1) Confidence set (1) Cumby–Huizinga test (1) Frisch–Waugh–Lovell theorem (1) GMM (1) HAC standard errors (1) Heteroskedasticity (1) Ivactest (1) Ivendog (1) Ivhettest (1) Ivreg2 (1) Mais... Tipo do documento Journal Article (3) Article (1) Ano 2007 (1) 2006 (2) 2002 (1) País United States (4) Idioma Inglês (4)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 4 Primeira ... 1 ... Última Enhanced routines for instrumental variables/generalized method of moments estimation and testing AgEcon Baum, Christopher F.; Schaffer, Mark E.; Stillman, Steven. We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class estimation, tests for endogeneity and Ramsey’s regression specification-error test, and autocorrelation tests for instrumental variable estimates and panel-data instrumental variable estimates. Tipo: Article Palavras-chave: Ivactest; Ivendog; Ivhettest; Ivreg2; Ivreset; Overid; Ranktest; Instrumental variables; Weak instruments; GMM; Endogeneity; Heteroskedasticity; Serial correlation; HAC standard errors; LIML; CUE; Overidentifying restrictions; Frisch–Waugh–Lovell theorem; RESET; Cumby–Huizinga test; Research Methods/ Statistical Methods. Ano: 2007 URL: http://purl.umn.edu/119291 Implementing tests with correct size in the simultaneous equations model AgEcon Moreira, Marcelo J.; Poi, Brian P.. In this paper, we propose a fix to the size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative confidence regions for the structural parameter with correct coverage probability. Commands to implement these tests in Stata are also introduced. Tipo: Journal Article Palavras-chave: Instrumental variables; Weak instruments; Similar tests; Score test; Wald test; Likelihood-ratio test; Confidence regions; 2SLS estimator; LIML estimator; Research Methods/ Statistical Methods. Ano: 2002 URL: http://purl.umn.edu/116032 Tests and confidence sets with correct size when instruments are potentially weak AgEcon Mikusheva, Anna; Poi, Brian P.. We consider inference in the linear regression model with one endogenous variable and potentially weak instruments. We construct confidence sets for the coefficient on the endogenous variable by inverting the Anderson–Rubin, Lagrange multiplier, and conditional likelihood-ratio tests. Our confidence sets have correct coverage probabilities even when the instruments are weak. We propose a numerically simple algorithm for finding these confidence sets, and we present a Stata command that supersedes the one presented in Moreira and Poi (Stata Journal 3: 57–70). Tipo: Journal Article Palavras-chave: Condivreg; Instrumental variables; Weak instruments; Confidence set; Similar test; Research Methods/ Statistical Methods. Ano: 2006 URL: http://purl.umn.edu/117584 Jackknife instrumental variables estimation in Stata AgEcon Poi, Brian P.. The two-stage least-squares (2SLS) instrumental variables estimator is commonly used to address endogeneity. However, the estimator suffers from bias that is exacerbated when the instruments are only weakly correlated with the endogenous variables and when many instruments are used. In this article, I discuss jackknife instrumental variables estimation as an alternative to 2SLS. Monte Carlo simulations comparing the jackknife instrument variables estimators to 2SLS and limited information maximum likelihood (LIML) show that two of the four variants perform remarkably well even when 2SLS does not. In a weak-instrument experiment, the two best performing jackknife estimators also outperform LIML. Tipo: Journal Article Palavras-chave: Jive; 2SLS; LIML; JIVE; Instrumental variables; Endogeneity; Weak instruments; Research Methods/ Statistical Methods. Ano: 2006 URL: http://purl.umn.edu/117586 Registros recuperados: 4 Primeira ... 1 ... Última

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