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Methods in empirical economics - a selective review with applications

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  • Hübler, Olaf

Abstract

This paper presents some selective aspects of standard econometric methods and of new developments in econometrics that are important for applications with microeconomic data. The range includes variance estimators, measurement of outliers, problems of partially identified parameters, nonlinear models, possibilities of instrumental variables, panel methods for models with time-invariant regressors, difference-in-differences estimators, matching procedures, treatment effects in quantile regression analysis and regression discontinuity approaches. These methods are applied to production functions with IAB establishment panel data.

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File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-513.pdf
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Bibliographic Info

Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-513.

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Length: 54 pages
Date of creation: Jul 2013
Date of revision:
Handle: RePEc:han:dpaper:dp-513

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Related research

Keywords: Significance; standard errors; outliers; influential observations; partially identified parameters; unobserved heterogeneity; instrumental variables; panel estimators; quantile regressions; causality; treatment effects; DiD estimators; regression discontinuity;

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References

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  1. Walter Krämer, 2011. "The cult of statistical significance. What economists should and should not do to make their data talk," Working Paper Series of the German Council for Social and Economic Data 176, German Council for Social and Economic Data (RatSWD).
  2. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
  3. Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Hausman & Newey & Woutersen & Chao & Swanson, 2009. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Economics Working Paper Archive 566, The Johns Hopkins University,Department of Economics.
  5. John Shea, 1996. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," NBER Technical Working Papers 0193, National Bureau of Economic Research, Inc.
  6. Thomas Bauer & Mathias Sinning, 2008. "An extension of the Blinder–Oaxaca decomposition to nonlinear models," AStA Advances in Statistical Analysis, Springer, vol. 92(2), pages 197-206, May.
  7. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
  8. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  9. Jörg Stoye, 2008. "More on confidence intervals for partially identified parameters," CeMMAP working papers CWP11/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  10. Ai, Chunrong & Norton, Edward C., 2003. "Interaction terms in logit and probit models," Economics Letters, Elsevier, vol. 80(1), pages 123-129, July.
  11. Francisco Cribari-Neto & Wilton Silva, 2011. "A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 129-146, June.
  12. Leamer, Edward E, 1985. "Sensitivity Analyses Would Help," American Economic Review, American Economic Association, vol. 75(3), pages 308-13, June.
  13. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August.
  14. Susanne Rässler & Regina Riphahn, 2006. "Survey item nonresponse and its treatment," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 217-232, March.
  15. Fortin, Nicole & Lemieux, Thomas & Firpo, Sergio, 2011. "Decomposition Methods in Economics," Handbook of Labor Economics, Elsevier.
  16. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  17. Kennedy, Peter E, 2002. " Sinning in the Basement: What Are the Rules? The Ten Commandments of Applied Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 16(4), pages 569-89, September.
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