Locally robust inference for non-Gaussian linear simultaneous equations models
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- dc.contributor.author Lee, Adam
- dc.contributor.author Mesters, Geert
- dc.date.accessioned 2024-01-16T07:06:12Z
- dc.date.available 2024-01-16T07:06:12Z
- dc.date.issued 2024
- dc.description.abstract All parameters in linear simultaneous equations models can be identified (up to permutation and sign) if the underlying structural shocks are independent and at most one of them is Gaussian. Unfortunately, existing inference methods that exploit such identifying assumptions suffer from size distortions when the true distributions of the shocks are close to Gaussian. To address this weak non-Gaussian problem we develop a locally robust semi-parametric inference method which is simple to implement, improves coverage and retains good power properties. The finite sample properties of the methodology are illustrated in a large simulation study and an empirical study for the returns to schooling.
- dc.description.sponsorship Mesters acknowledges support from the Spanish Ministry of Economy and Competitiveness through the Ramon y Cajal fellowship (RYC2019-028287-I) and the Spanish Ministry of Economy and Competitiveness through the Severo Ochoa Programme for Centres of Excellence in R&D (CEX2019-000915-S) and The Netherlands Organization for Scientific Research (NWO) through the VENI research grant (016.Veni.195.036).
- dc.format.mimetype application/pdf
- dc.identifier.citation Lee A, Mesters G. Locally robust inference for non-Gaussian linear simultaneous equations models. J Econom. 2024;240(1):105647. DOI: 10.1016/j.jeconom.2023.105647
- dc.identifier.doi http://dx.doi.org/10.1016/j.jeconom.2023.105647
- dc.identifier.issn 0304-4076
- dc.identifier.uri http://hdl.handle.net/10230/58722
- dc.language.iso eng
- dc.publisher Elsevier
- dc.relation.ispartof Journal of Econometrics. 2024;240(1):105647.
- dc.relation.ispartof info:eu-repo/grantAgreement/ES/2PE/CEX2019-000915-S
- dc.relation.projectID info:eu-repo/grantAgreement/ES/2PE/RYC2019-028287-I
- dc.rights © 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri https://creativecommons.org/licenses/by/4.0/
- dc.subject.keyword Weak identification
- dc.subject.keyword Semiparametric modeling
- dc.subject.keyword Independent component analysis
- dc.subject.keyword Simultaneous equations
- dc.title Locally robust inference for non-Gaussian linear simultaneous equations models
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion