Endogeneity in Econometrics Instrumental Variable Estimation(截面和面板数据分析).pptVIP

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Endogeneity in Econometrics Instrumental Variable Estimation(截面和面板数据分析).ppt

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Endogeneity in Econometrics Instrumental Variable Estimation(截面和面板数据分析)

Endogeneity in Econometrics:Instrumental Variable Estimation Ming LU Endogeneity Omitting variable bias Simultaneity Measurement error Can we ignore the omitted variables bias? It can be satisfactory if the estimates are coupled with the direction of the biases for the key parameters. Can we use proxy to eliminate omitted variable bias? –Sometimes. Can FE estimation solve omitting variable problem? First differencing or fixed effects estimation eliminates time-constant variables. In addition, the panel data methods do not solve the problem of time-varying omitted variables Idea of IV Estimation Exogenous variable. Indirect effects of IV. Example What can serve as IV for edu? Mother’s education? Number of siblings? The report of others? A dummy variable that is equal to 1 if a man is born in the first quarter of the year. Angrist and Krueger (1991). (Problematic.) In China, the years of primary edu? IV for skipped class? The distance from home to school. Other examples of IV IV for institution: Language? History? Mauro (1995) 使用人口的种族和语言构成作为腐败的工具变量，Hall and Jones (1999) 用距离赤道的距离和以西欧语言为第一语言的程度作为制度质量的工具变量，La Porta et al. (1997, 1998, 1999)把法律的起源作为各种法律结构的工具变量。Acemoglu, Johnson, and Robinson (2001, 2002)使用殖民地时代(1500年前后)的死亡率和人口密度作为制度的工具变量 IV for school choice: Number of steams? Identification Refer to (15.9) and (15.10) The (asymptotic) standard error of Self-selection Angrist (1990) studied the effect that being a veteran in the Vietnam war had on lifetime earnings. Draft lottery number is a good IV candidate for veteran. Some additional words about natural experiment and DID Properties of IV with a Poor Instrumental Variable R2 Most regression packages compute an R-squared after IV estimation, using the standard formula: R2= 1- SSR/SST, where SSR is the sum of squared IV residuals, and SST is the total sum of squares of y. R2 can be negative in this case. IV ESTIMATION OF THE MULTIPLE REGRESSIONMODEL structural equation Estimation Efficient IV TWO STAGE LEAST