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• W825466851 abstract "The existing estimation techniques for grouped data models can be analyzed as a class of estimators of instrumental variable-Generalized Method of Moments (GMM) type with the matrix of group indicators being the set of instruments. Econometric literature (e.g. Smith, 1997; Newey and Smith, 2004) show that, in some cases of empirical relevance, GMM can have shortcomings in terms of the large sample behaviour of the estimator being different from the finite sample properties. Generalized Empirical Likelihood (GEL) estimators are developed that are not sensitive to the nature and number of instruments and possess improved finite sample properties compared to GMM estimators. In this thesis, with the assumption that the data vector is iid within a group, but inid across groups, we developed GEL estimators for grouped data model having population moment conditions of zero mean of errors in each group. First order asymptotic analysis of the estimators show that they are ?N consistent (N being the sample size) and normally distributed. The thesis explores second order bias properties that demonstrate sources of bias and differences between choices of GEL estimators. Specifically, the second order bias depends on the third moments of the group errors and correlation among the group errors and explanatory variables. With symmetric errors and no endogeneity all three estimators Empirical Likelihood (EL), Exponential Tilting (ET) and Continuous Updating Estimator (CUE) yield unbiased estimators. A detailed simulation exercise is performed to test comparative performance of the EL, ET and their bias corrected estimators to the standard 2SLS/GMM estimators. Simulation results reveal that while, with a few strong instruments, we can simply use 2SLS/GMM estimators, in case of many and/or weak instruments, increased degree of endogeneity, or varied signal to noise ratio, bias corrected EL, ET estimators dominate in terms of both least bias and accurate coverage proportions of asymptotic confidence intervals even for a considerably large sample. The thesis includes a case where there are within group dependent data, to assess the consequences of a key assumption being violated, namely the within-group iid assumption. Theoretical analysis and simulation results show that ignoring this feature can result in misleading inference. The proposed estimators are used to estimate the returns to an additional year of schooling in the UK using Labour Force Survey data over 1997-2009. Pooling the 13 years data yields roughly the same estimate of 11.27% return for British-born men aged 25-50 using any of the estimation techniques. In contrast using 2009 LFS data only, for a relatively small sample and many weak instruments, the return to first degree holder men is 13.88% using EL bias corrected estimator, where 2SLS estimator yields an estimate of 6.8%." @default.
• W825466851 created "2016-06-24" @default.
• W825466851 creator A5008168081 @default.
• W825466851 date "2014-06-04" @default.
• W825466851 modified "2023-09-23" @default.
• W825466851 title "Estimation and Inference of Microeconometric Models based on Moment Condition Models" @default.
• W825466851 hasPublicationYear "2014" @default.
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