Coming soon - Get a detailed view of why an account is flagged as spam!
view details

This post has been de-listed

It is no longer included in search results and normal feeds (front page, hot posts, subreddit posts, etc). It remains visible only via the author's post history.

4
Inference with generated regressors, bootstrap and weird panel structure
Post Body

I have at hand a generated regressor problem. I estimate the two following equations:

x_it = g(z1_it , a1) err1_it

z_ijt =h(z2_ijt, z1_it, \hat{a1}, a2) err2_ijt

where notation is as follows: z1 and z2 are (exogenous) variables, a1 and a2 parameters to estimate, \hat{a1} are consistent estimates of a1 from the first equation. err1_it is independent error, but its variance depends on i; err2 is iid (can it be??). Think of t as "time", i as some "individual".

I know that estimates of a2 are consistent in a 2 stage approach, if estimates of a1 are. My problem is inference. The Full Information Maximum Likelihood of this is a catastrophic mess, so I want to estimate this in a 2 stages procedure. Also, standard variance correction (Murphy and Topel) is out of question for reasons I am not going to explain.

I want to bootstrap, but I am never sure of how to do things correctly. I started block-bootstrapping the i blocks: this is what you do when you have panel, after all. I got my distribution of \hat{a1} and I was very happy, when it dawned on me: shouldn't I block-bootstrap the "it"-block, rather? Now, the assumption (if it makes sense, at this point I am not sure) is that err2 is iid, so I don't need to preserve the correlation structure with a block-bootstrap. Also, it is the generated regressor from the first stage I want a boostrapped statistics on, not the second. But I am very confused.What is the theory behind this? Anyone has any idea and or reference?

Edit: details for clarity

Author
Account Strength
90%
Account Age
8 years
Verified Email
Yes
Verified Flair
No
Total Karma
3,773
Link Karma
108
Comment Karma
3,665
Profile updated: 2 days ago
Posts updated: 7 months ago

Subreddit

Post Details

We try to extract some basic information from the post title. This is not always successful or accurate, please use your best judgement and compare these values to the post title and body for confirmation.
Posted
5 years ago