Sumários

Static Panel Data Models

17 Novembro 2020, 16:00 Rita Sousa


Illustration 4

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)