Timeline for Robust Standard Errors for Control Function Approach?
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 21, 2016 at 17:48 | answer | added | An old man in the sea. | timeline score: 2 | |
| May 21, 2016 at 17:43 | comment | added | An old man in the sea. | 123, the CF method is a specific case of when we have generated regressors. Check the appendix to chapter 6, pages 157-160, for the asymptotic covariance matrix of $N^{1/2}(\hat\beta_{CF}-\beta)$. The expression is truly enormous. ;) | |
| May 20, 2016 at 23:46 | comment | added | 123 | @AlecosPapadopoulos - Oh man - I see what happened. Sorry for the confusion. Thanks for catching the mistake. | |
| May 20, 2016 at 23:43 | history | edited | 123 | CC BY-SA 3.0 |
added 334 characters in body
|
| May 20, 2016 at 20:52 | comment | added | Alecos Papadopoulos | My question was about $$E(W_i\epsilon_i) = E([\gamma_1 X_i + \gamma_2 Z_i + \phi_i][ \alpha \phi_i + \chi]) = ... + \alpha E\phi^2_i$$ If $\phi$ is random then $E\phi^2_i$ cannot be zero, and so $E(W_i\epsilon_i) \neq 0$. Please clarify, or better, add information in the post, not in the comments. | |
| May 20, 2016 at 20:16 | comment | added | 123 | by construction, $E[\phi_i \chi_i]=0$,$E[X_i \chi_i]=0$ and the endogeneity is fully reflected in $\alpha$. I wrote this out following the example provided by Woolridge's lecture slides. I think it is correct but I could have mixed some things around? | |
| May 20, 2016 at 19:04 | comment | added | Alecos Papadopoulos | Since $\phi_i$ is part of $W_i$ and also of $\epsilon_i$, how do you obtain the orthogonality between $W_i$ and $\epsilon_i$? | |
| May 20, 2016 at 18:16 | history | edited | 123 | CC BY-SA 3.0 |
deleted 126 characters in body; edited title
|
| May 20, 2016 at 18:04 | history | asked | 123 | CC BY-SA 3.0 |