Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg

By Xiaoyong Zheng. 2007

1,133 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Agricultural and Biological Sciences, Genetics

View Paper: https://www.semanticscholar.org/paper/6ebdb520caef1a59fe1b9e91d410043ab4a8e4c1

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Citations in the corpus

Fiscal Stimulus in a Monetary Union: Evidence from U.S. Regions (2014, positive): “However, because we use a large number of instruments in our baseline case—one for each state or region—the Cragg-Donald (1993) first stage Fstatistic suggested by Stock and Yogo (2005) is roughly 5 for our baseline specification of the state-level regressions and 8 for the region-level regressions.”
Determinants of International Emergency Aid - Humanitarian Need Only? (2009, background): “A Cragg-Donald statistic of 6.4 implies a maximum relative IV bias of 20 percent in our setup (Stock and Yogo, 2005).”
Ex post analysis of economic impacts from wind power development in U.S. counties (2012, methodology): “To account for the possibility of local geographic spillovers from wind development in neighboring counties on income, the third set of columns in Table 2 presents IV results when including both mwcap and W×mwcap, assuming that both are endogenous.”
Extreme Weather and Civil War: Does Drought Fuel Conflict in Somalia through Livestock Price Shocks? (2014, neutral): “…at the common confidence level, thus confirming the strength of the instruments (Baum, Schaffer, and Stillman 2007; Kleibergen and Paap 2006; Stock and Yogo 2005).24 Furthermore, the identification strategy is based on the assumption that drought— precisely, drought as determined by…”
Feeding unrest (2014, methodology): “The Cragg-Donald F statistic tests weak identification when compared to critical values established by Stock & Yogo (2005) for the maximum IV estimator bias.”
The Pungent Smell of 'Red Herrings': Subsoil Assets, Rents, Volatility and the Resource Curse (2010, positive): “The Cragg-Donald (1993) F-statistic is far below 10, which means that the IV estimates have a bias of over 30% towards the corresponding OLS coefficient (Stock and Yogo, 2005).”
Incremental causal effects (2019, background): “In the econometrics literature, under weak ignorability, incremental treatment effects are often identified via E[∂tE[Y |X,T ]] for some covariates X , which is sometimes called average marginal effect or average partial effect (Powell et al., 1989; Cameron and Trivedi, 2005; Wooldridge, 2005).”
Readability of Narrative Disclosures in 10-K Reports: Does Managerial Ability Matter? (2018, positive): “Moreover, the Cragg–Donald Wald F-statistic is far greater than the Stock and Yogo (2005) critical value (i.e. 16.38) at the 10% maximal IV size, suggesting that our instrument is not weak.”
The effect of institutional ownership on firm innovation: Evidence from Chinese listed firms (2017, neutral): “In panel A the Cragg-Donald Wald F-statistic is lower than the critical value at the 10% significance level (Stock and Yogo, 2005), indicating that our IV for institutional ownership might be subject to the weak IV problem.”
From mining to markets: The evolution of bitcoin transaction fees (2019, methodology): “…have high correlation with MWT, and the minimum eigenvalue statistic of 51.6 for the first-stage regression (using limited information maximum likelihoos) indicates for all standard levels of acceptable bias that our instrument is not weak (see Craig and Donald,1993, and Stock and Yogo, 2005).”
A review of instrumental variable estimators for Mendelian randomization (2015, background): “The matrix PZ 1⁄4 I Z ZZ 1 Z is the projection matrix of Z.(76) If k1⁄41, then ̂k is the 2SLS estimator.”
Counting Chickens when they Hatch: Timing and the Effects of Aid on Growth* (2012, positive): “This is more serious than the aforementioned possible invalidity of lagged aid as an instrument, which is also a concern here; weak instrumentation means that the coefficient estimates in RS can be as plagued with bias as simple OLS estimates (Stock and Yogo, 2005).”
Roads and Trade: Evidence from the US (2014, methodology): “In addition, we report weak instrument test statistics developed by Stock and Yogo (2005) with our tsls results.”
Cross-Border M&As and Innovative Activity of Acquiring and Target Firms (2016, background): “29 The critical value for a maximum IV bias of 10% is 19.93 in the present case (Stock and Yogo, 2005).”