Bias Transmission and Variance Reduction in Two-Stage Estimation
نویسندگان
چکیده
In this paper, we study the transmission of an asymptotic bias in two-stage regressions with non-iid errors and random regressors in which the possible endogeneity of some explanatory variables is treated via first-stage predictive equations. In particular, we characterise the transmission of an asymptotic bias in the first-stage estimates to the secondstage estimates. As an example, we fully develop the case of two-stage quantile regressions. Finally, Monte Carlo simulation results illustrate the occurrence of the bias in small samples. JEL Codes: C13, C30.
منابع مشابه
An Application of Non-response Bias Reduction Using Propensity Score Methods
In many statistical studies some units do not respond to a number or all of the questions. This situation causes a problem called non-response. Bias and variance inflation are two important consequences of non-response in surveys. Although increasing the sample size can prevented variance inflation, but cannot necessary adjust for the non-response bias. Therefore a number of methods ...
متن کاملThe Relative Improvement of Bias Reduction in Density Estimator Using Geometric Extrapolated Kernel
One of a nonparametric procedures used to estimate densities is kernel method. In this paper, in order to reduce bias of kernel density estimation, methods such as usual kernel(UK), geometric extrapolation usual kernel(GEUK), a bias reduction kernel(BRK) and a geometric extrapolation bias reduction kernel(GEBRK) are introduced. Theoretical properties, including the selection of smoothness para...
متن کاملNonlinear Wigner Ville spectrum estimation using wavelet soft thresholding
The large variance of the Wigner Ville distribution makes smoothing essential for producing readable estimates of the time varying power spectrum of noise corrupted signals Since linear smoothing trades reduced variance for increased bias of the signal components we explore two nonlinear estimation techniques based on soft thresholding in an orthonormal basis representation Soft thresholding pr...
متن کاملReconnoitering the effective Channels of Monetary Transmission Mechanism in Iran Using a Dynamic Stochastic General Equilibrium Model
The purpose of the present research is to investigate the effective channels of the monetary transmission mechanism in Iran. To do so, we devised a New Keynesian Dynamic Stochastic General Equilibrium Model. In our model, the different types of nominal rigidities are introduced beside all the related structural equations, which are extracted and linearized around a steady state point. Furthermo...
متن کاملApplications of Stochastic Simulation in Two - Stage Multiple
APPLICATIONS OF STOCHASTIC SIMULATION IN TWO-STAGE MULTIPLE COMPARISONS WITH THE BEST PROBLEM AND TIME AVERAGE VARIANCE CONSTANT ESTIMATION by Dibyendu Chakrabarti In this dissertation, we study two problems. In the first part, we consider the two-stage methods for comparing alternatives using simulation. Suppose there are a finite number of alternatives to compare, with each alternative having...
متن کامل