Semiparametric efficiency in GMM models with auxiliary data

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general moment restrictions with missing data. Identification relies on auxiliary data containing information about the distribution of the missing variables conditional on proxy variables that are observed in both the primary and the auxiliary database, when such distribution is common to the two data sets. The auxiliary sample can be independent of the primary sample, or can be a subset of it. For both cases, we derive bounds when the probability of missing data given the proxy variables is unknown, or known, or belongs to a correctly specified parametric family. We find that the conditional probability is not ancillary when the two samples are independent. For all cases, we discuss efficient semiparametric estimators. An estimator based on a conditional expectation projection is shown to require milder regularity conditions than one based on inverse probability weighting.Comment: Published in at http://dx.doi.org/10.1214/009053607000000947 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Adjusting to Trade Policy: Evidence from U.S. Antidumping Duties on Vietnamese Catfish

In 2003, after claims of dumping, the U.S. imposed heavy tariffs on imports of catfish from Vietnam. As a result, Vietnamese exports of catfish to the U.S. market sharply declined. Using a panel data of Vietnamese households, we explore the responses of catfish producers in the Mekong delta between 2002 and 2004. We study adjustments not only in catfish aquaculture but also in other economic activities. We find that, over this period, the rate of income growth was significantly lower among households relatively more involved in catfish farming in 2002. The source of this slower growth is explained by a relative decline in both catfish income and revenues from other miscellaneous farms activities such as poultry and livestock farming. Households did not adjust labor supply, most likely because of off-farm employment limitations. We also document that households more exposed to the shock reduced the share of investment assigned to catfish, while substituting into agriculture.

Adjusting to trade-policy changes in export markets : evidence from U.S. antidumping duties on Vietnamese catfish

A large literature studies the effects of trade policy changes on developing-country exports on household incomes, and recent contributions have increasingly addressed the effects of administered protection, such as anti-dumping duties. In 2003 the United States imposed anti-dumping tariffs on imports of catfish from Vietnam ranging from 37 to 64 percent. As a result, Vietnamese exports of catfish to the U.S. market declined sharply, thus providing a unique opportunity to study the effects of U.S. trade policy changes on Vietnamese families. Using data on Vietnamese households, the authors study the responses of catfish producers in the Mekong delta of Vietnam between 2002 and 2004. The evidence suggests that the rate of growth of income of households that depended on catfish sales was significantly affected. In addition, the anti-dumping duties triggered significant exit from catfish farming. Households adjusted by moving out of catfish aquaculture and into wage labor markets and agriculture, but not into other aquaculture activities. Finally, the evidence also suggests that households found it difficult to change their catfish production levels, and that performance in aquaculture affects other household economic activities.Economic Theory&Research,Fisheries&Aquaculture,Emerging Markets,Wildlife Resources,Labor Policies

Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the sampling information consists of a primary sample and an auxiliary sample. The variables of interest in the moment conditions are not directly observable in the primary data set, but the primary data set contains proxy variables which are correlated with the variables of interest. The auxiliary data set contains information about the conditional distribution of the variables of interest given the proxy variables. Identification is achieved by the assumption that this conditional distribution is the same in both the primary and auxiliary data sets. We provide semiparametric efficiency bounds for both the "verify-out-of-sample" case, where the two samples are independent, and the "verify-in-sample" case, where the auxiliary sample is a subset of the primary sample; and the bounds are derived when the propensity score is unknown, or known, or belongs to a correctly specified parametric family. These efficiency variance bounds indicate that the propensity score is ancillary for the "verify-in-sample" case, but is not ancillary for the "verify-out-of-sample" case. We show that sieve conditional expectation projection based GMM estimators achieve the semiparametric efficiency bounds for all the above mentioned cases, and establish their asymptotic efficiency under mild regularity conditions. Although inverse probability weighting based GMM estimators are also shown to be semiparametrically efficient, they need stronger regularity conditions and clever combinations of nonparametric and parametric estimates of the propensity score to achieve the efficiency bounds for various cases. Our results contribute to the literature on non-classical measurement error models, missing data and treatment effects.Auxiliary data, Measurement error, Missing data, Treatment effect, Semiparametric efficiency bound, GMM, Sieve estimation

Honey, I grew the kids: evidence from ethnic Indians in England

Despite impressive rates of economic growth in recent decades, India remains one of the worst performing countries worldwide in terms of height, among children and adults. This blog shows that height gaps exist, although decline substantially, among adult immigrants of Indian ethnicity in England, while virtually disappearing among their young children

The choice to migrate: where to work and where to live

In this paper we consider an overlapping generation model in which people, born in two different countries, decide where to spend their working period of life, and where to retire after it. The two countries differ in technology and quality of life. The "northern" country, N, is more productive, while in the "southern" country, S, people enjoy a better quality of life. Locational preferences are influenced not only by "objective" criteria –like climate, pollution, congestion–, but also by "cultural" factors. Thus we assume that people prefer to live in their country of origin. footnote It will be shown that, under plausible assumptions, locational decisions cause migration from S to N, but the importance of this phenomenon depends on how locational preferences are made endogenous. In Section 2 we describe the production side of our model, and in Section 3 its consumption side. We then examine the influence of locational preferences that are taken as exogenous, in Section 4, and made endogenous, at least for their subjective component, in Section 5

Migration and public expenditure: the host country point of view

The flows of migration from neighbouring countries into the European Union have, since its inception, been more relevant than those of internal migration. Thus, labour movements from relatively less industrialized countries of the EU "such as Italy in the 50’s" towards the relatively more advanced ones "such as France and Germany" quickly vanished after the European Community was established among the initial six members. Later, migration from Portugal and Spain towards the richer EU countries was again greatly reduced, when those countries, as Italy and Greece before them, also became members of the Community. Migration flows from Turkey, on the other hand, were slowed down only by specific restrictions, particularly in Germany, and will probably be no longer relevant once the customs union between the EU and Turkey is completed. In the meantime, migrants from Southern Mediterranean, Eastern European, and other extra-EU countries keep pressing at the EU borders. The recent flow of illegal immigrants from Albania, particularly into Italy and Greece, is only the latest and more dramatised example of a larger and continuing phenomenon. Thus the issue of labour migration, as well as its legal or illegal aspects, is strictly intertwined "both theoretically and empirically" with the issue of economic integration, particularly when this takes place among countries that are relatively more advanced than their neighbours. In this paper, as an attempt at exploring some theoretical basis of these phenomena, we consider a country into which immigration takes place exogenously. footnote The model used to describe its economy is based on overlapping generations. People go through two periods in their life. During the first period they work, consume and save, in order to afford consumption also in the second period, when they will no longer work. The government taxes labour income in order to finance public expenditure, which takes the form of transfers to retired workers. footnote Thus government expenditures may be interpreted as a pension scheme based on the "pay as you go" system. Workers are both natives of the country, and immigrants. Without attaching any particular value judgment to it, we make the assumption that the government of the host country, in optimising its behaviour, takes into account only the utility of indigenous residents. footnote We assume that the exogenous rate of immigration is higher than the rate of growth of native population. Also, we assume that, relative to a previous situation when the pension scheme was put in place, the rate of growth of indigenous population has fallen below the rate of interest. Thus promises of a "pay as you go" pension scheme can no longer be kept, and a new scheme based on capitalisation becomes superior. In such a situation, immigration is beneficial, in the sense that the government is able to keep the promises based on the "pay as you go" pension scheme, by drawing on the higher demographic fertility of the immigrant population. Immigrants come and work in the host country either legally or illegally. Besides exploring the viability of the old pension scheme through immigration, we are interested in endogenising the share of total immigrants that come in legally, and in explaining the decision by legal immigrants to retire in the host country, or to return to their country of origin after their working period. We analyse two fiscal means through which the government of the host country can influence these decisions. They are the rate of labour income taxation, and the share of pension that the government will transfer to legal immigrants, in case they decide to return home, rather than remain in the host country, after retirement. In Section 2 we present the structure of the basic model. Section 3 examines how the government can maximise the welfare of its natives by using fiscal instruments, that are related to the income of immigrants during both the working and the retirement periods of their life. Section 4 presents the conclusions that can be drawn from our analysis, and indicates directions for further research

Bednets, Information and Malaria in Orissa

This paper studies the identification and estimation of a basic model of technology adoption using specifcally collected information on subjective beliefs and expectations to identify key model parameters. We discuss identifcation with both non-parametrically and parametrically specified utility as well as parametric and semi-parametric specifcations for unobserved heterogeneity. We propose parametric and semi-parametric estimation methods to recover underlying preferences and use the model to study the adoption of Insecticide Treated Nets (ITNs) among poor households in rural India. We carry out counterfactual exercises to examine the effects of price and belief changes on net ownership decisions. The results suggest that purchase decisions are relatively insensitive to changes from current prices and beliefs. The method proposed here should have applicability to other discrete choice settings with non-linear indices.Malaria, Expectations, Bednets, Identication, Median Restrictions

Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the sampling information consists of a primary sample and an auxiliary sample. The variables of interest in the moment conditions are not directly observable in the primary data set, but the primary data set contains proxy variables which are correlated with the variables of interest. The auxiliary data set contains information about the conditional distribution of the variables of interest given the proxy variables. Identification is achieved by the assumption that this conditional distribution is the same in both the primary and auxiliary data sets. We provide semiparametric efficiency bounds for both the “verify-out-of-sample” case, where the two samples are independent, and the “verify-in-sample” case, where the auxiliary sample is a subset of the primary sample; and the bounds are derived when the propensity score is unknown, or known, or belongs to a correctly specified parametric family. These efficiency variance bounds indicate that the propensity score is ancillary for the “verify-in-sample” case, but is not ancillary for the “verify-out-of-sample” case. We show that sieve conditional expectation projection based GMM estimators achieve the semiparametric efficiency bounds for all the above mentioned cases, and establish their asymptotic efficiency under mild regularity conditions. Although inverse probability weighting based GMM estimators are also shown to be semiparametrically efficient, they need stronger regularity conditions and clever combinations of nonparametric and parametric estimates of the propensity score to achieve the efficiency bounds for various cases. Our results contribute to the literature on non-classical measurement error models, missing data and treatment effects

Adjusting to trade policy: Evidence from U.S. antidumping duties on Vietnamese catfish

In 2003, after claims of dumping, the United States imposed heavy tariffs on Vietnamese catfish, which led to a collapse of imports. We use panel data to explore household responses in the catfish-producing Mekong delta between 2002 and 2004 and find that income growth was significantly slower among households relatively more involved in catfish farming in 2002. This is explained by a relative decline in both catfish income and revenues from other miscellaneous farm activities. Labor supply did not adjust, most likely because of off-farm employment limitations. Households more exposed to the shock reduced the share of investment assigned to catfish while substituting into agriculture.Facultad de Ciencias Económica