Explorations in NISE Estimation

Blankmeyer, Eric (2021): Explorations in NISE Estimation.

Abstract

. Ordinary least squares, two-stage least squares and the NISE estimator are applied to three data sets involving equations from microeconomics and macroeconomics. The focus is on simultaneity bias in linear least squares and on the ability of the other estimators to mitigate the bias.

• Item Type: MPRA Paper
• Language: English
• Keywords: simultaneity bias, instrumental variables, least squares regression
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C36 - Instrumental Variables (IV) Estimation

References

Anderson, T., 2010. The LIML estimator has finite moments ! Journal of Econometrics 157: 359-361.

Blankmeyer, E., 2017a. Structural-equation estimation without instrumental variables. Available as arXiv paper 1709.09512 at https://arxiv.org.

Blankmeyer, E., 2017b. Flying without instruments. Social Science Research Network paper 2674667, available at http://www.ssrn.com/en/.

Blankmeyer, E., 2018. Simultaneous-equation estimation with no instrumental variables. Applied Economics Letters 25: 1097-1100. DOI: 10.1080/13504851.2017.1397847.

Blankmeyer, E., 2020. NISE estimation of an economic model of crime. Available as arXiv paper 2003.07860 at https://arxiv.org.

Chow, G., 1964. A comparison of alternative estimators for simultaneous equations. Econometrica 32: 532-553.

Davidson, R., J. MacKinnon, 1993. Estimation and Inference in Econometrics. New York: Oxford University Press. Greene, W., 2003. Econometric Analysis, fifth edition. Upper Saddle River NJ: Prentice Hall. Leamer, E., 2010. Tanatalus on the road to Asymptopia. Journal of Economic Literature 24: 31-46.

Maddala, G., 1988. Introduction to Econometrics. London: MacMillan.

Maronna, R., R. Martin, V. Yohai, 2006. Robust Statistics: Theory and Methods. Chichester, England: John Wiley & Sons.

Pindyck, R., 1999. The long-run evolution of energy prices. The Energy Journal 20: 1-27.

Rousseeuw, P., C. Croux, 1993. Alternatives to the median absolute deviation. Journal of the American Statistical Association 88: 1273-1283.

Texas Health and Human Services Commission, 2002. 2002 Cost Report – Texas Nursing Facility. Austin, Texas.