nep-ecm New Economics Papers
on Econometrics
Issue of 2008‒01‒19
four papers chosen by
Sune Karlsson
Orebro University

  1. Estimating average marginal effects in nonseparable structural systems By Susanne Schennach; Halbert White; Karim Chalak
  2. Testing for a Deterministic Trend when there is Evidence of Unit-Root By Manuel Gomez; Daniel Ventosa-Santaularia
  3. A nonparametric analysis of habits models By Ian Crawford
  4. Nonparametric Tests of Collectively Rational Consumption Behavior: An Integer Programming Procedure By Cherchye, L.; Rock, B. de; Sabbe, J.; Vermeulen, F.M.P.

  1. By: Susanne Schennach (Institute for Fiscal Studies and University of Chicago); Halbert White; Karim Chalak
    Abstract: <p><p><p>We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect least squares estimators analogous to those of Heckman and Vytlacil (1999, 2001) who treat a latent index model involving a binary X. We treat the traditional case of an observed exogenous instrument (OXI)and the case where one observes error-laden proxies for an unobserved exogenous instrument (PXI). For PXI, we develop and apply new results for estimating densities and expectations conditional on mismeasured variables. For both OXI and PXI, we use infnite order flat-top kernels to obtain uniformly convergent and asymptotically normal nonparametric estimators of instrument-conditioned effects, as well as root-n consistent and asymptotically normal estimators of average effects.</p></p></p>
    JEL: C13 C14 C31
    Date: 2007–12
  2. By: Manuel Gomez (School of Economics, Universidad de Guanajuato); Daniel Ventosa-Santaularia (School of Economics, Universidad de Guanajuato)
    Abstract: Whilst the existence of a unit root implies that current shocks have permanent effects, in the long run, the simultaneous presence of a deterministic trend obliterates that consequence. As such, the long-run level of macroeconomic series depends upon the existence of a deterministic trend. This paper proposes a formal statistical procedure to distinguish between the null hypothesis of unit root and that of unit root with drift. Our procedure is asymptotically robust with regard to autocorrelation and takes into account a potential single structural break. Empirical results show that most of the macroeconomic time series originally analyzed by Nelson and Plosser (1982) are characterized by their containing both a deterministic and a stochastic trend.
    Keywords: Unit Root, Deterministic Trend, Trend Regression, R2.
    JEL: C12 C13 C22 E30
  3. By: Ian Crawford (Institute for Fiscal Studies and University of Oxford)
    Abstract: <p><p><p><p>This paper presents a nonparametric analysis of the canonical habits model. The approach is based on the combinatorial/revealed preference framework of Samuelson (1948), Houthakker (1950), Afriat (1967) and Varian (1982) and the extenstion and application of these ideas to intertemporal models in Browning (1989). It provides a simple finitely computable test of the model which does not require a parameterisation of the underlying (hypothesised) preferences.It also yields set identification of important features of the canonical habits model including the consumer's rate of time preference and the welfare effects of habit-formation. The ideas presented are illustrated using Spanish panel data.</p></p></p>
    Date: 2007–12
  4. By: Cherchye, L.; Rock, B. de; Sabbe, J.; Vermeulen, F.M.P. (Tilburg University, Center for Economic Research)
    Abstract: We present an IP-based nonparametric (revealed preference) testing proce- dure for rational consumption behavior in terms of general collective models, which include consumption externalities and public consumption. An empiri- cal application to data drawn from the Russia Longitudinal Monitoring Survey (RLMS) demonstrates the practical usefulness of the procedure. Finally, we present extensions of the testing procedure to evaluate the goodness-of-fit of the collective model subject to testing, and to quantify and improve the power of the corresponding collective rationality tests.
    Keywords: collective consumption model;revealed preferences;nonparametric rationality tests;integer programming (IP).
    JEL: D11 D12 C14
    Date: 2008

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