96 research outputs found
Estimation of linear dynamic panel data models with time-invariant regressors (working paper)
This is the final version of the article. This paper can be downloaded without charge from the European Central Bank, the Social Science Research Network electronic library
or from RePEc: Research Papers in Economics via the links in this record.We propose a two-stage estimation procedure to identify the effects of time-invariant regressors
in a dynamic version of the Hausman-Taylor model. We first estimate the coeffi-
cients of the time-varying regressors and subsequently regress the first-stage residuals on the
time-invariant regressors providing analytical standard error adjustments for the second-stage
coefficients. The two-stage approach is more robust against misspecification than GMM estimators
that obtain all parameter estimates simultaneously. In addition, it allows exploiting
advantages of estimators relying on transformations to eliminate the unit-specific heterogeneity.
We analytically demonstrate under which conditions the one-stage and two-stage GMM
estimators are equivalent. Monte Carlo results highlight the advantages of the two-stage approach
in finite samples. Finally, the approach is illustrated with the estimation of a dynamic
gravity equation for U.S. outward foreign direct investment
Instrumental-variable estimation of large-T panel-data models with common factors
This is the final version. Available on open access from SAGE Publications via the DOI in this recordIn this article, we introduce the xtivdfreg command, which implements a general instrumental-variables (IV) approach for fitting panel-data models with many time-series observations, T, and unobserved common factors or interactive effects, as developed by Norkute et al. (2021, Journal of Econometrics 220: 416â446) and Cui et al. (2020a, ISER Discussion Paper 1101). The underlying idea of this approach is to project out the common factors from exogenous covariates using principal-components analysis and to run IV regression in both of two stages, using defactored covariates as instruments. The resulting two-stage IV estimator is valid for models with homogeneous or heterogeneous slope coefficients and has several advantages relative to existing popular approaches.
In addition, the xtivdfreg command extends the two-stage IV approach in two major ways. First, the algorithm accommodates estimation of unbalanced panels. Second, the algorithm permits a flexible specification of instruments.
We show that when one imposes zero factors, the xtivdfreg command can replicate the results of the popular Stata ivregress command. Notably, unlike ivregress, xtivdfreg permits estimation of the two-way error-components paneldata model with heterogeneous slope coefficients.Australian Research Council (ARC
Instrument approval by the Sargan test and its consequences for coefficient estimation
This is the author accepted manuscript. The final version is available on open access from Elsevier via the DOI in this recordEmpirical econometric findings are often vindicated by supplementing them with the p-values of Sargan-Hansen tests for overidentifying restrictions, provided these exceed a chosen small nominal significance level. It is illustrated here that the probability that such tests reject instrument validity may often barely exceed small levels, even when instruments are seriously invalid, whereas even minor invalidity of instruments can severely undermine inference on regression coefficients by instrumental variable estimators. These uncomfortable patterns may be aggravated when particular valid or invalid instruments are relatively weak or strong
Response Surface Regressions for Critical Value Bounds and Approximate pâvalues in Equilibrium Correction Models
This is the final version. Available on open access from Wiley via the DOI in this record.âŻWe consider the popular âbounds testâ for the existence of a level relationship in conditional equilibrium correction models. By estimating response surface models based on about 95 billion simulated Fâstatistics and 57 billion tâstatistics, we improve upon and substantially extend the set of available critical values, covering the full range of possible sample sizes and lag orders, and allowing for any number of longârun forcing variables. By computing approximate Pâvalues, we find that the bounds test can be easily oversized by more than 5 percentage points in small samples when using asymptotic critical values
One-Loop Quantum Energy Densities of Domain Wall Field Configurations
We discuss a simple procedure for computing one-loop quantum energies of any
static field configuration that depends non-trivially on only a single spatial
coordinate. We specifically focus on domain wall-type field configurations that
connect two distinct minima of the effective potential, and may or may not be
the solutions of classical field equations. We avoid the conventional summation
of zero-point energies, and instead exploit the relation between functional
determinants and solutions of associated differential equations. This approach
allows ultraviolet divergences to be easily isolated and extracted using any
convenient regularization scheme. Two examples are considered: two-dimensional
theory, and three-dimensional scalar electrodynamics with spontaneous
symmetry breaking at the one-loop level.Comment: RevTex, 29 pages, 1 figure, minor corrections, references adde
Derivative expansion and gauge independence of the false vacuum decay rate in various gauges
In theories with radiative symmetry breaking, the calculation of the false
vacuum decay rate requires the inclusion of higher-order terms in the
derivative expansion of the effective action. I show here that, in the case of
covariant gauges, the presence of infrared singularities forbids the consistent
calculation by keeping the lowest-order terms. The situation is remedied,
however, in the case of gauges. Using the Nielsen identities I show
that the final result is gauge independent for generic values of the gauge
parameter that are not anomalously small.Comment: Some comments and references adde
- âŠ