Tous les séminaires
Jeudi 2 MAI 2013
Kirill EVDOKIMOV (Princeton University)
"Diagnostics for Exclusion Restrictions in Instrumental Variables Estimation" avec David Lee
de 14 h à 15 h 30 en salle S016 à l'INSEE-CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).
It turns out that the above implication leads to a nonstandard econometric testing problem. The problem contains elements that are similar to the literatures on partially identified models and on weak instrument models, but none of these literatures provides a satisfactory solution to our problem. For example, the analysis of weak instrument models is typically greatly simplified by observing that conditional on a certain sufficient statistic the distribution of the usual test statistics does not depend on the true concentration parameter. This argument does not apply in our problem thus requiring a more complicated analysis. We provide a number of testing strategies and discuss their theoretical properties, optimality, as well as the practical aspects of their use in applications. We consider the analyses of subpopulations determined by the discrete and continuous covariates. The latter case involves additional theoretical and practical considerations. The finite sample properties of our procedures are studied in a number of Monte Carlo simulations. We illustrate the use of the methods in an empirical application estimating returns to schooling.