Calendrier du 27 juin 2022
Roy Seminar (ADRES)
Du 27/06/2022 de 17:00 à 18:15
Salle R2-20 Campus Jourdan 75014 Paris
CHE Yeon-Koo (Columbia University)
Prolonged Learning and Hasty Stopping: the Wald Problem with Ambiguity
écrit avec with Sarah Auster and Konrad Mierendorff
Econometrics Seminar
Du 27/06/2022 de 16:00 à 17:15
YOUNG Alwyn (LSE)
Consistency without Inference: Instrumental Variables in Practical Application
I use Monte Carlo simulations, the jackknife and multiple forms of the bootstrap to study a comprehensive sample of 1309 instrumental variables regressions in 30 papers published in the journals of the American Economic Association. Monte Carlo simulations based upon published regressions show that non-iid error processes in highly leveraged regressions, both prominent features of published work, adversely affect the size and power of IV tests, while increasing the bias and mean squared error of IV relative to OLS. Weak instrument pre-tests based upon F statistics are found to be largely uninformative of both size and bias. In published papers IV has little power as, despite producing substantively different estimates, it rarely rejects the OLS point estimate or the null that OLS is unbiased, while the statistical significance of excluded instruments is exaggerated.