Palgrave Handbook of Econometrics: Applied Econometrics

732 Microeconometrics: Methods and Developments process. Also, not all parameters may be identified. For example, regression co- ...

A. Colin Cameron 733 14.3 Estimation Most applied microeconometric studies include estimation of parametric models or the condit ...

734 Microeconometrics: Methods and Developments E[yi−μ]=0 leads to the estimator̂μ=y ̄. OLS, ML and just-identified IV estimator ...

A. Colin Cameron 735 There are several attractions to GMM. First, it provides a unifying framework to estimation as it nests man ...

736 Microeconometrics: Methods and Developments With no model the only constraint is that probabilities sum to one. This leads t ...

A. Colin Cameron 737 has better second-order asymptotic properties than GMM, and it appears that using the weightŝπiin forminĝ ...

738 Microeconometrics: Methods and Developments wherêf(·)is the Monte Carlo estimate or simulator: ̂f(yi|xi,u(S) i ,θ)= 1 S ∑S ...

A. Colin Cameron 739 dependent variables models with normal errors the Geweke–Hajivassiliou–Keane (GHK) simulator is often used. ...

740 Microeconometrics: Methods and Developments But for most models, especially standard nonlinear regression models, the poster ...

A. Colin Cameron 741 (see McCulloch, Polson and Rossi, 2000). The data augmentation method then generates draws of unobserved va ...

742 Microeconometrics: Methods and Developments regression if instead the unknown true quantile function is nonlinear, and provi ...

A. Colin Cameron 743 that they be fully efficient in that they attain semiparametric efficiency bounds (see Chamberlain, 1987; N ...

744 Microeconometrics: Methods and Developments 14.4 Statistical inference There have been considerable advances in statistical ...

A. Colin Cameron 745 Given data independent overi, the robust variance matrix estimate uses: ̂A=N−^1 ∑ i ∂h(wi,θ) ∂θ′ ∣∣ ∣∣ ̂θ , ...

746 Microeconometrics: Methods and Developments although it does requireC→∞. It is essential to control for clustering, as failu ...

A. Colin Cameron 747 Specifically, Monte Carlo studies find considerable over-rejection due to the finite sample test size being ...

748 Microeconometrics: Methods and Developments estimation, are used for specification testing. For example, in linear regres- s ...

A. Colin Cameron 749 This method is convenient whenever standard errors are difficult to obtain by conventional methods. Leading ...

750 Microeconometrics: Methods and Developments t 1 ∗,...,tB∗. For a symmetric test rejectH 0 if the original samplet-statistic ...

A. Colin Cameron 751 correlative data summary to obtaining estimates of a causative effect, meaning mea- sures of how an outcome ...