Estimation Methods for LDV Models with Unrestricted Correlations in the Unobservables to Analyze Three Classes of Economic Problems

不可观测量中无限制相关的 LDV 模型估计方法分析三类经济问题

• 批准号: 8813630
• 负责人: Vassilis Hajivassiliou
• 金额: $ 6.47万
• 依托单位: Yale University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1988
• 资助国家: 美国
• 起止时间: 1988-08-01 至 1991-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8813630&HistoricalAwards=false
• 关键词: Estimation; Methods; LDV; Models; Unrestricted

Limited dependent variables (LDV) models derived from economic theory frequently do not impose theoretically justifiable restrictions on correlations among the unobservables. At present, however, classical estimation of LDV models with freely correlated unobservables is generally infeasible because it requires the evaluation of multi-dimensional integrals. Of particular interest are such problems that arise in panel LDV models and LDV models with measurement errors. This project develops and implements simulation methods for numerical integration and implementation to facilitate solution of the previously intractable computational problems. This is achieved by developments along three directions: First, the EM algorithm of Hartley (1958) is combined with simulation methods to overcome discontinuity problems in estimators studied. Second, techniques are provided to simulate directly from conditional densities. These techniques are important for the implementation of the Method of Simulated Moments (McFadden, 1988). Third, new simulation estimators are devised that are continuous in the unknown parameter vector. These econometric methods are employed to analyze three classes of economic problems. First, determinants of incidence and duration of external debt crises and IMF conditionality programs in LDC's are studied using panel dynamic LDV models. New solutions to the long-standing problem of "initial values" are provided by estimating the conditional distribution of the initial values. Second, collective bargaining models are used to study the occurrence of strikes. These issues are analyzed econometrically by LDV models with imperfectly measured qualitative and continuous variables. Finally, game-theoretic models of tacitly collusive behavior are tested through econometrically similar methods. These working practical models will illustrate the utility and tractability of the new methods employed.

有限因变量（LDV）模型来自经济 理论往往不强加理论上的正当性 对不可观测量之间相关性的限制。 在 目前，然而，经典的估计LDV模型与自由 相关的不可观测值通常是不可行的，因为它 需要计算多维积分。 的 特别感兴趣的是在面板LDV中出现的这些问题 模型和具有测量误差的LDV模型。 该项目开发并实施了模拟方法， 数值积分和实施，以促进解决方案 解决之前难以解决的计算问题。 这是 通过沿着三个方向的发展实现：第一，EM Hartley（1958）的算法与仿真方法相结合 以克服所研究的估计量中的不连续性问题。 其次，提供了直接从 条件密度 这些技术对于 模拟矩方法的实现（McFadden， 1988年）。 第三，设计了新的模拟估计器， 在未知参数向量中连续。 运用这些计量经济学方法对三个类别进行了分析 经济问题。 第一，发病率的决定因素， 外债危机的持续时间和货币基金组织的条件性方案 在最不发达国家的研究使用面板动态LDV模型。 新 解决长期存在的“初始值”问题的方法是 通过估计的条件分布， 初始值。 第二，集体谈判模式被用来 研究罢工的发生。 对这些问题进行了分析 不完全测量的LDV模型 定性和连续变量。 最后，博弈论 通过以下方式测试了默许合谋行为的模型： 类似的经济计量方法。 这些实用的模型 将说明新方法的实用性和易处理性 就业。