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Experimental designs in triangular simultaneous equations models

Author

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  • Víctor Casero-Alonso
  • Jesús López-Fidalgo

Abstract

Optimal experimental designs are considered for models with simultaneous equations. In particular, a model with two equations is assumed where one of the explanatory variables (exogenous) of the first equation is then the response variable (endogenous) of the second equation. In both equations there is a control variable, which is being designed through the celebrated D-optimality criterion. This work is based on a more restricted approach using just the first equation and assuming the distribution of the exogenous/endogenous variable completely known. Then a conditionally restricted optimal design was computed afterwards. In this paper the conditional model is assumed partially known but it has to be fitted as well. Although both approaches identify different prior knowledge a comparison of the optimal designs for both approaches is made. Since the model is not linear in the usual sense the optimal designs will depend on the parameters and a sensitivity analysis against its choice is performed. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Víctor Casero-Alonso & Jesús López-Fidalgo, 2015. "Experimental designs in triangular simultaneous equations models," Statistical Papers, Springer, vol. 56(2), pages 273-290, May.
    • Handle: RePEc:spr:stpapr:v:56:y:2015:i:2:p:273-290
    DOI: 10.1007/s00362-014-0581-y
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    References listed on IDEAS

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    1. Jinyong Hahn & Keisuke Hirano & Dean Karlan, 2011. "Adaptive Experimental Design Using the Propensity Score," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 96-108, January.
    2. Martin-Martin, R. & Torsney, B. & Lopez-Fidalgo, J., 2007. "Construction of marginally and conditionally restricted designs using multiplicative algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5547-5561, August.
    3. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
    4. Aigner, Dennis J & Balestra, Pietro, 1988. "Optimal Experimental Design for Error Components Models," Econometrica, Econometric Society, vol. 56(4), pages 955-971, July.
    5. Aigner, Dennis J., 1979. "A brief introduction to the methodology of optimal experimental design," Journal of Econometrics, Elsevier, vol. 11(1), pages 7-26, September.
    6. Kessels, Roselinde & Jones, Bradley & Goos, Peter & Vandebroek, Martina, 2009. "An Efficient Algorithm for Constructing Bayesian Optimal Choice Designs," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 279-291.
    7. Conlisk, John, 1979. "Design for simultaneous equations," Journal of Econometrics, Elsevier, vol. 11(1), pages 63-76, September.
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