Models in which a complicated function of data is estimated in the first step, and plugged again into another estimation model of primary interest in the second step

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Regression where predicted values always under-predicts the dependent variable

I am new to this field and was wondering if there is any regression technique available in literature that always under-predicts the dependent variable (y). I am actually planning to implement two ...
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Two Step estimation of treatment effects

I want to estimate the treatment effect of a selection Model without a preimplemented package in R. I allready have the probit estimates for the inverse mills ratio. How can I estimate the switching ...
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2-stage Heckman instrumental variable estimation

I am working on my thesis. My main regression model is the following: $Y=x_1*{\rm Payment}+x_2*{\rm Country}+x_3*{\rm Industry}...$ All independent variables are dummy / binary variables. In a next ...
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Regression estimate of a non-negative variable

I have to estimate linear weight $\beta$ for regression $Y \sim \mathbf{X}$, where $Y$ are non-negative samples. If I perform vanilla regression (lets assume ridge regression) it will find $\beta$ ...
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261 views

Heckman sample selection vs. OLS

If the mills ratio of a Heckman selection model (with/without exclusion restriction) is not significant, shall I prefer to estimate my model with OLS instead? Or is it better to use the estimates from ...
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Question about inverse in a two-step estimator as a joint GMM-estimators approach

I'm reading Newey & McFadden - Large sample estimation and hypothesis testing (in the Handbook of Econometrics, Volume 4, 1994, page 2178). My model which I'm interested in has some former ...
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120 views

First stage of TSLS and the matrix of instruments W

If we assume we have 2 equations and each equation contains the other dependent variable. $y_1 = \beta_0 + \beta_1 y_2 + \beta_2 z_1 + u_1$ $y_2 = \alpha_0 + \alpha_1 y_1 + \alpha_2 z_2 + u_2$ For ...
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Inverse Mills ratio after OLS

Short version of the question: Is it possible to create a dependent variable in the first step of the Heckman Selection model such that it is possible to obtain the values for the calculation of the ...
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About Identification in a 3 equation SEM

I got this example and I was wondering about a certain statement: $$ \begin{aligned} y_1 &= \alpha_{12}y_2 + \alpha_{13}y_3 + \beta_{11}z_1 + u_1 \\ y_2 &= \alpha_{21}y_1 + \beta_{21}z_1 + ...
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How to correct for generated regressor bias?

Dear Stack Exchange heroes, For my thesis I am writing a paper on the financial crisis. In my model, I use two regressions, which look like this: $$CONF = α + β_1 DEF_t + β_2 DIV_t + β_3 INF_t + β_4 ...