Essays in Honor of Jerry Hausman (Advances in Econometrics)

The 'Advances in Econometrics' series aims to publish annual original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature. FRONT COVER 1 ESSAYS IN HONOR OF JERRY HAUSMAN 4 COPYRIGHT PAGE 5 CONTENTS 6 LIST OF CONTRIBUTORS 10 THE GENESIS OF THE HAUSMAN SPECIFICATION TEST 14 INTRODUCTION 16 THE DIFFUSION OF HAUSMAN’S ECONOMETRIC IDEAS 18 INTRODUCTION 19 CITATION ANALYSIS METRICS 20 DATA 21 THE DIFFUSION OF HAUSMAN’S IDEAS 21 GROWTH IN CITATIONS 31 SUMMARY AND CONCLUSIONS 34 NOTES 35 ACKNOWLEDGMENTS 36 REFERENCES 36 APPENDIX: PAPERS RANKED BY CITATION COUNT (CITATION COUNTS ARE BOLDED IN PARENTHESES) 37 PART I: ESTIMATION 48 COMBINING TWO CONSISTENT ESTIMATORS 50 INTRODUCTION 51 DERIVING A HETEROSCEDASTICITY ROBUST ESTIMATOR 52 ACKNOWLEDGEMENT 69 NOTES 69 REFERENCES 69 A MINIMUM MEAN SQUARED ERROR SEMIPARAMETRIC COMBINING ESTIMATOR 72 INTRODUCTION 73 A BIT OF HISTORY 74 A FAMILY OF ECONOMETRIC MODELS–ESTIMATORS AND THE COMBINING ESTIMATOR IDEA 76 SAMPLING EXPERIMENTS 82 AN EMPIRICAL APPLICATION OF THE ESTIMATOR COMBINATION METHODOLOGY 89 SUMMARY AND IMPLICATIONS 91 NOTES 92 ACKNOWLEDGMENT 93 REFERENCES 93 APPENDIX: ASYMPTOTICS OF MSE COMPONENT ESTIMATORS 95 AN EXPOSITORY NOTE ON THE EXISTENCE OF MOMENTS OF FULLER AND HFUL ESTIMATORS 104 INTRODUCTION 105 WHY DOES LIML NOT HAVE MOMENTS? 107 WHY DOES THE FULLER MODIFICATION LEAD TO ESTIMATORS WITH MOMENTS? 108 IS NORMALITY REQUIRED FOR THE FULLER ESTIMATOR TO HAVE MOMENTS? 114 WHY DO WE NEED A CONDITION SUCH AS HAUSMAN ET AL. (2012), ASSUMPTION 9? 115 WHY DO WE HAVE THE ADJUSTMENT FORMULA α =[α— (1—α) C/n][1—(1—α) C/n]–1 IN HFUL, AND WHAT ARE THE EFFECTS OF C ON THE ASYMPTOTIC PROPERTIES OF HFUL? 116 ACKNOWLEDGEMENT 122 NOTES 122 REFERENCES 122 OVERCOMING THE MANY WEAK INSTRUMENT PROBLEM USING NORMALIZED PRINCIPAL COMPONENTS 124 INTRODUCTION 125 INSTRUMENT SELECTION METHODS 129 INSTRUMENT REDUCTION TECHNIQUES 134 SIMULATION 140 APPLICATION TO ANGRIST AND KRUEGER (1992) 146 CONCLUSION 153 ACKNOWLEDGMENTS 156 NOTES 157 REFERENCES 157 APPENDIX 160 IMPLEMENTING NPC TO MINIMIZE MSE OF DN 161 R CODE FOR NPC INSTRUMENT SELECTION 163 ERRORS-IN-VARIABLES AND THE WAVELET MULTIRESOLUTION APPROXIMATION APPROACH: A MONTE CARLO STUDY 166 INTRODUCTION 167 BRIEF DESCRIPTION OF WAVELETS AND THEIR PROPERTIES 169 STRUCTURAL/NOISE DECOMPOSITION AND WAVELET MULTIRESOLUTION ANALYSIS 172 THE ERRORS-IN-VARIABLES PROBLEM: A MONTE CARLO SIMULATION STUDY 175 CONCLUSIONS 181 NOTES 182 REFERENCES 184 APPENDIX A: THE APPLICATION OF WAVELET ESTIMATORS TO A TEXTBOOK EXAMPLE 186 PART II: PANEL DATA 190 A ROBUST HAUSMAN–TAYLOR ESTIMATOR 192 INTRODUCTION 193 THE HAUSMAN–TAYLOR ESTIMATOR 195 A BRIEF REVIEW OF M, MS AND GM ROBUST ESTIMATORS 196 THE ROBUST HAUSMAN–TAYLOR ESTIMATOR 200 THE SIMULATION STUDY 206 AN EMPIRICAL EXAMPLE: THE CORNWELL–RUPERT (1988) MINCER WAGE EQUATION 219 CONCLUSION 225 NOTES 225 ACKNOWLEDGMENTS 227 REFERENCES 228 APPENDIX A 230 APPENDIX B 231 SMALL SAMPLE PROPERTIES AND PRETEST ESTIMATION OF A SPATIAL HAUSMAN–TAYLOR MODEL 232 INTRODUCTION 233 ECONOMETRIC MODEL 235 MONTE CARLO ANALYSIS 238 CONCLUSIONS 250 ACKNOWLEDGMENTS 251 NOTES 251 REFERENCES 252 APPENDIX 253 QUANTILE REGRESSION ESTIMATION OF PANEL DURATION MODELS WITH CENSORED DATA 254 INTRODUCTION 255 MODEL AND METHOD 257 MONTE CARLO EVIDENCE 263 AN EMPIRICAL APPLICATION 274 CONCLUSION 281 ACKNOWLEDGMENTS 281 NOTES 281 REFERENCES 282 LABOR ALLOCATION IN A HOUSEHOLD AND ITS IMPACT ON PRODUCTION EFFICIENCY: A COMPARISON OF PANEL MODELING APPROACHES 286 INTRODUCTION 287 MODEL FRAMEWORK AND ESTIMATION 289 DATA AND SAMPLE SELECTION 297 ESTIMATION AND TEST RESULTS 300 CONCLUSIONS 313 ACKNOWLEDGMENTS 315 NOTES 315 REFERENCES 315 USING PANEL DATA TO EXAMINE RACIAL AND GENDER DIFFERENCES IN DEBT BURDENS 322 INTRODUCTION 323 BACKGROUND 324 EMPIRICAL METHODOLOGY 326 DATA 329 RESULTS 332 CONCLUSION 339 NOTES 340 ACKNOWLEDGMENTS 340 REFERENCES 341 SOVEREIGN BOND SPREAD DRIVERS IN THE EU MARKET IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS 344 INTRODUCTION 345 RELATED LITERATURE 347 DETERMINANTS OF EU YIELD DIFFERENTIALS AND HYPOTHESIS 350 METHODOLOGY AND DATA 353 ECONOMETRIC RESULTS 357 CONCLUSIONS 364 ACKNOWLEDGMENTS 365 NOTE 365 REFERENCES 365 PART III: SPECIFICATION TESTING 370 CONDITIONAL INDEPENDENCE SPECIFICATION TESTING FOR DEPENDENT PROCESSES WITH LOCAL POLYNOMIAL QUANTILE REGRESSION 372 INTRODUCTION 373 QUANTILE REGRESSION AND CONDITIONAL INDEPENDENCE 376 LOCAL POLYNOMIAL QUANTILE REGRESSION AND UNIFORM BAHADUR REPRESENTATION 378 TESTING CONDITIONAL INDEPENDENCE 383 CONCLUSION 408 ACKNOWLEDGMENTS 409 NOTE 409 REFERENCES 409 APPENDIX A: PROOF OF THE MAIN RESULTS 413 APPENDIX B: PROPOSITIONS 435 APPENDIX C: SOME TECHNICAL LEMMAS 449 EXTENDING THE HAUSMAN TEST TO CHECK FOR THE PRESENCE OF OUTLIERS 452 INTRODUCTION 453 GENERAL TESTING PROCEDURE 454 SIMULATIONS 460 CONCLUSION 469 ACKNOWLEDGMENTS 469 REFERENCES 470 A SIMPLE TEST FOR IDENTIFICATION IN GMM UNDER CONDITIONAL MOMENT RESTRICTIONS 472 INTRODUCTION 473 GMM AND GLOBAL IDENTIFICATION FAILURE 476 ASYMPTOTIC THEORY 481 MONTE CARLO SIMULATIONS 484 CONCLUSIONS 489 ACKNOWLEDGMENT 489 NOTES 490 REFERENCES 490 APPENDIX 493 FIXED VS RANDOM: THE HAUSMAN TEST FOUR DECADES LATER 496 INTRODUCTION 497 THE HAUSMAN TEST AND HISTORICAL DEVELOPMENTS 500 DISCUSSION 508 SEMIPARAMETRIC AND NONPARAMETRIC HAUSMAN TESTS 509 MONTE CARLO SIMULATIONS 513 AN ILLUSTRATION MODELING GASOLINE DEMAND 518 CONCLUSION 522 NOTES 523 REFERENCES 523 APPENDIX 526 THE HAUSMAN TEST, AND SOME ALTERNATIVES, WITH HETEROSKEDASTIC DATA 532 INTRODUCTION 533 THE DURBIN–WU–HAUSMAN TESTS 533 HAUSMAN TESTS WITH HETEROSKEDASTICITY 536 A MONTE CARLO EXPERIMENT 541 MONTE CARLO RESULTS 544 CONCLUSIONS 560 NOTES 561 REFERENCES 562 A HAUSMAN TEST FOR SPATIAL REGRESSION MODEL 564 INTRODUCTION 564 A HELICOPTER TOUR OF HAUSMAN TEST 565 PACE AND LESAGE TEST 568 AN EMPIRICAL ILLUSTRATION: CRIME IN COLUMBUS 570 MONTE CARLO RESULTS 571 CONCLUSION 575 ACKNOWLEDGMENT 575 REFERENCES 575 This Volume Of Advances In Econometrics Contains Articles That Examine Key Topics In The Modeling And Estimation Of Dynamic Stochastic General Equilibrium (dsge) Models. Because Dsge Models Combine Micro- And Macroeconomic Theory With Formal Econometric Modeling And Inference, Over The Past Decade They Have Become An Established Framework For Analyzing A Variety Of Issues In Empirical Macroeconomics. The Research Articles Make Contributions In Several Key Areas In Dsge Modeling And Estimation. In Particular, Papers Cover The Modeling And Role Of Expectations, The Study Of Optimal Monetary Policy In Two-country Models, And The Problem Of Non-invertibility. Other Interesting Areas Of Inquiry Include The Analysis Of Parameter Identification In New Open Economy Macroeconomic Models And The Modeling Of Trend Inflation Shocks. The Second Part Of The Volume Is Devoted To Articles That Offer Innovations In Econometric Methodology. These Papers Advance New Techniques For Addressing Major Inferential Problems And Include Discussion And Applications Of Laplace-type, Frequency Domain, Empirical Likelihood And Method Of Moments Estimators.--publisher's Website. The Genesis Of The Hausman Specification Test / Jerry A. Hausman -- The Diffusion Of Hausman's Econometric Ideas / Hector O. Zapata And Cristina M. Caminita / Combining Two Consistent Estimators / John C. Chao [and Others] -- A Minimum Mean Squared Error Semiparametric Combining Estimation / George G. Judge, Ron C. Mittelhammer -- An Expository Note On The Existence Of Moments Of Fuller And Hful Estimators / John C. Chao [and Others] -- Overcoming The Many Weak Instrument Problem Using Normalized Principal Components / Nicky Grant -- Errors-in-variables And The Wavelet Multiresolution Approximation Approach : A Monte Carlo Study / Marco Gallegati, James B. Ramsey -- A Robust Hausman-taylor Estimator / Badi H. Baltagi, Georges Bresson -- Small Sample Properties And Pretest Estimation Of A Spatial Hausman-taylor Model / Badi H. Baltagi, Peter H. Egger, Michaela Kesina -- Quantile Regression Estimation Of Panel Duration Models With Censored Data / Matthew Harding, Carlos Lamarche --^ Labor Allocation In A Household And Its Impact On Production Efficiency : A Comparison Of Panel Modeling Approaches / Hild Marte Bjørnsen, Ashok K. Mishra -- Using Panel Data To Examine Racial And Gender Differences In Debt Burdens / Michael D.s. Morris -- Sovereign Bond Spread Drivers In The Eu Market In The Aftermath Of The Global Financial Crisis / Iuliana Matei, Angela Cheptea -- Conditional Independence Specification Testing For Dependent Processes With Local Polynomial Quantile Regression / Liangjun Su, Halbert L. White -- Extending The Hausman Test To Check For The Presence Of Outliers / Catherine Dehon, Marjorie Gassner, Vincenzo Verardi -- A Simple Test For Identification In Gmm Under Conditional Movement Restrictions / Francesco Bravo, Juan Carlos Escanciano, Taisuke Otsu -- Fixed Vs Random : The Hausman Test Four Decades Later / Shahram Amini [and Others] -- The Hausman Test, And Some Alternatives, With Heteroskedastic Data / Lee C. Adkins [and Others] --^ A Hausman Test For Spatial Regression Model / Monalisa Sen, Anil K. Bera, Yu-hsien Kao. Edited By Badi H. Baltagi ... [et Al.]. Includes Bibliographical References. A title that aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature