Robust non-Gaussian inference for linear simultaneous equations models
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- dc.contributor.author Lee, Adam
- dc.contributor.author Mesters, Geert
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:10:13Z
- dc.date.available 2024-11-14T10:10:13Z
- dc.date.issued 2021-07-19
- dc.date.modified 2024-11-14T10:08:11Z
- dc.description.abstract All parameters in linear simultaneous equations models can be identified (up to permutation and scale) if the underlying structural shocks are independent and if at most one of them is Gaussian. Unfortunately, existing inference methods that exploit such a non-Gaussian identifying assumption suffer from size distortions when the true shocks are close to Gaussian. To address this weak non-Gaussian problem, we develop a robust semi-parametric inference method that yields valid confidence intervals for the structural parameters of interest regardless of the distance to Gaussianity. We treat the densities of the structural shocks non-parametrically and construct identification robust tests based on the efficient score function. The approach is shown to be applicable for a broad class of linear simultaneous equations models in cross-sectional and panel data settings. A simulation study and an empirical study for production function estimation highlight the practical relevance of the methodology.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1792
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/68678
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1792
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword weak identification
- dc.subject.keyword semiparametric modeling
- dc.subject.keyword independent component analysis
- dc.subject.keyword simultaneous equations.
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Robust non-Gaussian inference for linear simultaneous equations models
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper