Sumários
Static Panel Data Models
17 Novembro 2020, 14:30 • Rita Sousa
4. Static and Dynamic Panel Data Models
4.1. Panel Data
4.2. Alternative Estimators
4.3. Inference and Model Evaluation
Econometric Models with Endogenous Explanatory Variables (cont.)
12 Novembro 2020, 16:00 • Rita Sousa
Illustration 3
Econometric Models with Endogenous Explanatory Variables
12 Novembro 2020, 14:30 • Rita Sousa
3. Econometric Models with Endogenous Explanatory Variables
3.1. Endogeneity
3.1.1. Definition and Consequences
3.1.2. Motivation: Omitted variables, Measurement Errors, Simultaneous Equations
3.1.3. Solutions: Instrumental Variables, Panel Data
3.2. Instrumental Variable Estimation
3.2.1. Two-stage Least Squares (2SLS)
3.2.2. Generalized Method of Moments (GMM)
3.3. Specification Tests
3.3.1. Test for the Exogeneity of an Explanatory Variable
3.3.2. Test for the Exogeneity of the Instrumental Variables
3.3.3. Tests for Correlation between Instrumental Variables and Explanatory Variables
The Maximum Likelihood Estimator
10 Novembro 2020, 16:00 • Rita Sousa
2.6. Alternative Estimation Methods and Tests
2.6.1. Maximum Likelihood
Illustration 2 (question 4)