Inference in limited dependent variable models robust to weak identification
نویسندگان
چکیده
منابع مشابه
Estimating Contaminated Limited Dependent Variable Models
Smith for helpful comments and to Richard Blundell for kindly making his data available. In 1imi ted dependent variable models the estimators obtained by maximising the normal likelihood function are generally inconsistent when the assumption of normality ls falseo Arabmazar and Schmidt (1982) have shown that the bias trom non-normality can be substantial when the degree of censoring (or trunca...
متن کاملIdentification in Nonparametric Limited Dependent Variable Models with Simultaneity and Unobserved Heterogeneity
We extend the identification results for nonparametric simultaneous equations models in Matzkin (2008) to situations where the observations on the vector of dependent variables might be limited, and where the number of exogenous unobservable variables is larger than the number of dependent variables. 1The support of NSF through grants SES-0833058 and BCS-0852261 and of NIA through grant F014613...
متن کاملIdentification-robust inference for endogeneity parameters in linear structural models
We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity parameters. Such parameters have intrin...
متن کاملRobust inference in nonlinear models with mixed identification strength
The paper studies inference in regression models composed of nonlinear functions with unknown transformation parameters and loading coefficients that measure the importance of each component. In these models, non-identification and weak identification present in multiple parts of the parameter space, resulting in mixed identification strength for different unknown parameters. This paper propose...
متن کاملPseudo-R2 Measures for Some Common Limited Dependent Variable Models
A large number of different Pseudo-R measures for some common limited 2 dependent variable models are surveyed. Measures include those based solely on the maximized likelihoods with and without the restriction that slope coefficients are zero, those which require further calculations based on parameter estimates of the coefficients and variances and those that are based solely on whether the qu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2010
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2009.00309.x