international econometric journal
in Russian language
Ebbes, Peter. A non-technical guide to instrumental variables and regressor–error
dependencies
We provide a
non-technical summary of most of the recent results that have appeared in the
econometric literature on instrumental variables estimation for the linear
regression model. Standard inferential methods, such as OLS, are biased and
inconsistent when the regressors are correlated with the error term.
Instrumental variables methods were developed to overcome this problem, but
finding instruments of good quality is cumbersome in any given situation and
empirical researchers are often confronted with weak instruments. We review
most of the recent studies on weak instruments and point to several methods
that have been proposed to deal with such instruments, including “frugal” IV
alternatives that do not rely on observed instruments to identify the
regression parameters in presence of regressor–error dependencies.
Tsyplakov, Alexander. A guide to the world of instruments
The
essay discusses reasons of correlatedness of explanatory variables and errors
in regression applications, consequences of this correlatedness, and the method
of instrumental variables aimed to resolve this problem.
Pollock, Stephen. Estimation of structural econometric equations
Derivations
are offered for the LIML and the 2SLS estimators of single equations of the
classical econometric simultaneous-equation system that differ from the usual
ones. By assimilating both estimators to the method of moments, their essential
similarities are highlighted. The LIML estimator is derived from a
least-squares criterion that exploits the interpretation of the structural
equation as an error-in-variables model, and the 2SLS estimator is obtained by
an approximation that is asymptoically valid. The LIML estimator may be
calculated via an iterative procedure
that begins with the 2SLS estimator. The conventional derivations of the 2SLS
estimator are also reviewed.
Anatolyev, Stanislav. Optimal instruments
This
essay briefly surveys optimal instrumentation in linear and nonlinear models,
both cross-sectional and stationary time series. Examples of judicious
construction of instruments are given.
Pagan, Adrian. Weak instruments
This
essay is a selective guide to the literature on weak instruments. We use simple
models to illustrate the problems raised by weak instruments and the
suggestions that have been made to solve them. Because the literature is one
that is still developing we only briefly touch on some recent developments.
Sims,
Christopher. Thinking about instrumental variables
We take
a decision-theoretic view on the question of how to use instrumental variables
and method of moments. Since prior beliefs play an inevitably strong role when
instruments are possibly “weak”, or when the number of instruments is large
relative to the number of observations, it is important in these cases to
report characteristics of the likelihood beyond the usual IV or ML estimates
and their asymptotic (i.e. second-order local) approximate standard errors. IV
and GMM appeal because of their legitimate claim to be convenient to compute in
many cases, and a (spurious) claim that they can be justified with few
“assumptions”. We discuss some approaches to making such a claim more
legitimately.
Zinde-Walsh, Victoria. Canadian Econometric Study Group annual meeting
This
report contains impressions of a participant of the Canadian Econometric Study
Group meeting held in October,
Tyurin, Konstantin. Midwest Econometric Group annual meeting
This
report contains impressions of a participant of the Midwest Econometric Study
Group meeting held in
We
evaluate the influence of interests of regional energy companies, consumers and
governors on electricity regulation policy in Russian regions. We use panel
data on electricity tariffs and electricity consumption in 77 regions during
1998–2003. We find evidence that governors tended to “freeze” the tariffs
during governor elections, and that energy-intensive enterprises prefer buying
electricity at the federal wholesale market to bargaining over lower tariffs
with regional regulators. We conclude that regulation in 1998–2003 was socially
oriented rather than was protecting interests of industrial consumers. However,
an observed tendency of elimination of cross-subsidization is an evidence of
reduction in social functions of electricity. Taking into consideration a high
poverty level of population it is necessary to reconsider the norms of setting
marginal tariffs so as to separate social and economic parameters of
regulation.
Obrezkov, Oleg. Long range dependence and the purchasing power parity
The
aim of this paper is to explore the purchasing power parity between the
Kartashov, Georgy. Economic growth and institutional quality in resource
oriented countries
According to the
Mehlum–Moene–Torvik model, the influence of institutions and natural resources
on the level of GDP is ambiguous: depending on the value of a threshold
function of institutional quality and natural resource endowment, the economy
may be in one of the two equilibrium types – producer equilibrium or grabber
equilibrium. In a grabber equilibrium, growth is negatively impacted by resource
endowment and positively by institutions; in a producer equilibrium, more
resources fosters economic growth, while institutions have no effect at all.
Even though the empirical analysis supports the main result, the estimated
specification does not fully correspond to the theoretical model. In this
paper, we propose a different empirical testing strategy, more adequate to the
Mehlum–Moene–Torvik model: the threshold function depends on both resources and
institutions, and the regression specification more precisely reflects the
influence of institutions and resources on the GDP growth rate. The econometric
specification is a two-regime threshold regression, where a threshold value is
also estimated. We show that the implications of the theoretical model are
fully confirmed in the producer equilibrium, and only partly in the grabber
equilibrium. We also discuss and compare various threshold and linear
regression specifications.