A New Kind of Two-Stage Least Squares Based on Shapley Value Regression

Mishra, SK

doi:10.2139/ssrn.3094512

Cited by 1 publication

(2 citation statements)

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“…Thus, among the regressor variables ŷ would be used as an instrumental variable (Reiersøl, 1945) representing y, while x is its own instrument. This approach renders the use of OLS at the second stage free from the stochastic regressor problem (Mishra, 2017c).…”

Section: The Present Studymentioning

confidence: 99%

“…Shapley value regression (Lipovetsky, 2006;Mishra, 2016) significantly ameliorates the deleterious effects of collinearity on the estimated parameters. In view of this, we have also used the Shapley value regression at the second stage of 2-SLS and compared the results of this choice with the conventional method that uses OLS at the second stage (Mishra, 2017c) .…”

Section: The Present Studymentioning

confidence: 99%

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A Study on Regime Type and Globalization in Simultaneous Equation Framework

Mishra

2018

SSRN Journal

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In this study we build a simultaneous equation model in which the measures of different aspects of globalization (attributable to KOF) and different aspects of democracy (attributable to EIU) are related in seven structural equations. A bi-directional relationship between democracy and globalization is visualized. The model is estimated by the conventional 2-SLS as well as a modified 2-SLS in which Shapley value regression is used at the second stage of 2-SLS. On the basis of our analysis we conclude the following: (1). Overall, democracy and globalization promote each other and hence there is a bi-directional causality with positive relationships running both ways between democracy and globalization. At a national level, there may be various intermediary conditions that modify the relationship as well as set in motion a complex of positive and/or negative feedbacks to accelerate or retard the pace of globalization and democratization in a country-specific manner. However, when a large number of countries are studied a clear relationship emerges out. (2). There is a need to estimate the structural coefficients of the model cautiously since the regression equations may be suffering from collinearity among the predictor variables. The Shapley value regression based 2-SLS has performed better than the conventional regression in estimating the structural parameters of the model. (3). It is expected that the system methods of estimation of the model would give better results than what are obtained by the single equation methods of estimation of structural parameters of the model.

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Section: The Present Studymentioning

confidence: 99%