Large Sample Properties of Generalized Method of Moments Estimators

The paper focuses on two estimation methods that have been widely used to address endogeneity in empirical research in health economics and health services research B two-stage predictor substitution (2SPS) and two-stage residual inclusion (2SRI). 2SPS is the rote extension (to nonlinear models) of the popular linear two-stage least squares estimator. The 2SRI estimator is similar except that in the second stage regression, the endogenous variables are not replaced by first-stage predictors. Instead, first-stage residuals are included as additional regressors. In a generic parametric framework, we show that 2SRI is consistent and 2SPS is not. Results from a simulation study and an illustrative example also recommend against 2SPS and favor 2SRI. Our findings are important given that there are many prominent examples of the application of inconsistent 2SPS in the recent literature. This study can be used as a guide by future researchers in health economics who are confronted with endogeneity in their empirical work.

show abstract

“…19 For a discussion of the GMM see Hansen (1982). 20 We performed a line search on τ to find its sum of squared residuals minimizing value.…”

Section: Mullahy's Birthweight Model Revisitedmentioning

confidence: 99%

Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling

Terza

Basu

Rathouz

2008

Journal of Health Economics

1,344

1,137

View full text Add to dashboard Cite

show abstract

“…While the second assumption can never be tested and needs to be theoretically defensible, we use the Hansen-Sargan statistic as overidentification test to examine whether the instruments (unemployment rates for each of the children's age, gender and country group) were correlated with the error term. Rejection of the null hypothesis at the conventional 5% significance level would suggest that the instrument is correlated with depressive symptoms of the respondents, casting doubt on the validity of the instrument (Hansen, 1982).…”

Section: Empirical Approachmentioning

confidence: 99%

Under one roof: The effect of co-residing with adult children on depression in later life

Courtin

Avendaño

2016

Social Science & Medicine

View full text Add to dashboard Cite

Rationale. The number of older parents living without adult children has increased dramatically over the last decades. However, recent trends exacerbated by the Great Recession have led to an increase in intergenerational co-residing. Methods. We used three waves of data (2004)(2005)(2006)(2007)(2008)(2009)(2010) from the Survey of Health, Ageing and Retirement in Europe (SHARE) collected around the great recession to assess the effects of intergenerational co-residence on mental health in later life (n=50,043). We used an instrumental variable approach that exploits changes in employment opportunities of adult children during the great recession to examine the impact of coresiding with adult children on depression scores measured using the Euro-D scale of depression. Results. Northern European countries exhibited low levels of both co-residence and depression in older age, while most countries in Eastern and Southern Europe had high levels of both co-residence and depression. In OLS models that controlled for measured characteristics, co-residing with an adult child was not associated with depressive symptoms in older parents (β=-0.0387; 95% CI -0.0892 to 0.0118). By contrast, results from IV models suggest that co-residing with an adult child significantly reduces depressive symptoms by 0.731 points (95% CI -1.261 to -0.200) on the 12-item scale.Results were robust to a series of robustness checks including controls for child characteristics, country-specific time trends, and analyses restricted to homeowners. Conclusions. Our findings suggest that, in the context of high unemployment rates during the Great Recession in Europe, increased intergenerational exchange between adult children and older parents in the form of co-residence had positive mental health effects on older parents.

show abstract

“…As estatísticas t relatadas nas estimativas por MQO são baseadas no estimador de Newey & West (1987), o qual é consistente com a presença de heteroscedasticidade e autocorrelação de formas desconhecidas. A razão para a utilização do GMM se deve ao fato de as estimativas por MQO apresentarem problemas de autocorrelação e heteroscedasticidade de forma desconhecida ou endogeneidades e não linearidades, o que é comum em séries temporais macroeconômicas; esse método oferece estimadores consistentes para a regressão (Hansen 1982). Como apontado por Wooldridge (2001, p.95), "to obtain a more efficient estimator than two-stage least squares (or ordinary least squares), one must have overriding restrictions".…”

Section: Metodologiaunclassified

Expectativas empresariais, investimento agregado e emprego: uma análise considerando os efeitos das credibilidades monetária e fiscal no Brasil

Montes¹,

Machado²

2014

Econ. Apl.

View full text Add to dashboard Cite

ResumoO trabalho elabora uma análise acerca dos efeitos da credibilidade monetária, da credibilidade fiscal e de outras variáveis expectacionais relacionadas ao ambiente macroeconômico sobre as expectativas dos empresá-rios. Ademais, analisa a influência das expectativas dos empresários sobre as decisões de investimento e o nível de emprego no Brasil sob o regime de metas para inflação. Os resultados sugerem que o comprometimento das autoridades monetária e fiscal com seus objetivos exerce papel fundamental na formação das expectativas dos empresários com relação ao futuro da economia. Os achados também apontam que o investimento agregado e o emprego são afetados pelas expectativas empresariais.Palavras-chave: Credibilidade; Expectativas; Dívida pública; Investimento; Emprego. AbstractThe aim of this paper is to analyze the effects of monetary and fiscal credibility, and other expectational variables related to the macroeconomic environment regarding the expectations of entrepreneurs. It also examines the influence of entrepreneurs' expectations on investment decisions and employment in Brazil during the regime of inflation targeting. The results suggest that the commitment of both monetary and fiscal authorities with their goals plays a fundamental role in the formation of entrepreneurs' expectations about the future of the economy. Moreover, the findings also indicate that both aggregate investment and employment are affected by entrepreneurs' expectations.

show abstract

Large Sample Properties of Generalized Method of Moments Estimators

Cited by 11,165 publications

References 23 publications

Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling

Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling

Under one roof: The effect of co-residing with adult children on depression in later life

Expectativas empresariais, investimento agregado e emprego: uma análise considerando os efeitos das credibilidades monetária e fiscal no Brasil

Contact Info

Product

Resources

About