xtdhazard and cfbinout: Using internal instruments for addressing unobserved heterogeneity in the discrete-time hazard model

Hansen-Jagannathan distance with many assets

This paper proposes methods to estimate and compare asset pricing models in settings with a large number of test assets. Models are specified through a linear stochastic discount factor (SDF). We propose two regularization schemes to extend the Hansen-Jagannathan distance to high-dimensional environments. In addition t...

Endogeneity

Endogeneity is the condition in which a regressor is correlated with a model's error term, so that its coefficient does not recover the causal effect of interest. This entry generalizes the omitted-variable case of entry 008, presenting omitted variables, simultaneity, selection, and measurement error as four mechanism...

Ensaios Econômicos

The problem of endogeneity in econometric modeling: theoretical approaches and modern estimation methods

This article systematizes the theoretical and methodological dimensions of endogeneity as a central problem in causal econometric analysis. It examines omitted variables, simultaneity and reverse causality, measurement error, unobserved heterogeneity, and dynamic panel structure as major sources of endogeneity. The stu...

A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors

Conditional-Moment Estimation and Inference in the BLP Model

The random-coefficient demand model of Berry, Levinsohn, and Pakes (1995) is commonly estimated by the generalized method of moments (GMM), using an unconditional moment restriction with a fixed set of instruments. Identification of the model, however, rests on a conditional moment restriction. The two are not equivale...