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Angrist/Evans Angrist/Krueger

Angrist/Evans Angrist/Krueger. Correlation coefficient. OLS of bivariate model. IV of bivariate Model (Wald Est). 0.0020246/0.0291243 = 0.0695. Ratio of std errors should equal corr coef From previous page. First stage regression with two instruments.

carlos-barlow
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Angrist/Evans Angrist/Krueger

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  1. Angrist/EvansAngrist/Krueger

  2. Correlation coefficient

  3. OLS of bivariate model IV of bivariate Model (Wald Est) 0.0020246/0.0291243 = 0.0695 Ratio of std errors should equal corr coef From previous page

  4. First stage regression with two instruments

  5. F equals 715 --- no finite sample bias concerns here

  6. Notice t-stat on Reduced form Is almost the same As t-stat in 2SLS 0.12/.028 = 4.285 IV estimate -0.0083481/0.0694 = -0.1202

  7. 1st stage

  8. LIST OF EXOGENOUS VARIABLES ALL VARIABLES NOT IN LIST ARE CONSIDERED ENDOGENOUS STRUCTURAL MODEL

  9. Can reject at 5.1 percent the null the coefficients are The same

  10. R2 is useless because of Rounding – must calculate yourself Output residuals from 2LSL model Regress on all exo factors

  11. SSM = 1.467 • SST = 60444.5 • R2 = SSM/SST = 2.43E-5 • N = 254654 • NR2 = 6.18 • Dist as χ2(1) • P-value of 6.18 is 0.0129

  12. Example • Suppose a school district requires that a child turn 6 by October 31 in the 1st grade • Has compulsory education until age 18 • Consider two kids • One born Oct 1, 1960 • Another born Nov 1,1960

  13. Oct 1, 1960 • Starts school in 1966 (age 5) • Turns 6 a few months into school • Starts senior year in 1977 (age 16) • Does not turn 18 until after HS school is over • Nov 1, 1960 • Start school in 1967 (age 6) • Turns 7 a few months into school • Starts senior year in 1978 (age 17) • Turns 18 midway through senior year

  14. Ratio of Std errors (OLS)/(IV) is 0.0003386/0.0239489 = 0.014 Abs[Rho(qob1,educ)] =0.014

  15. 1st stage Reduced-form

  16. Correlation coefficient: z and x

  17. Overidentified model • 10 years of birth • 3 quarters of birth • 30 instruments

  18. The xi command i.m*i.n takes and generates dummies for i.m, i.n then all the unique interactions of m and n

  19. YOB effects QOB main effects and qob x yob interactions as instruments

  20. . estat overid; Tests of overidentifying restrictions: Sargan (score) chi2(29)= 25.4394 (p = 0.6553) Basmann chi2(29) = 25.4383 (p = 0.6553)

  21. 1st stage F – lots of concerns about finite sample bias

  22. Generate instruments by interacting 3 QOB x 10 YOB dummies (30) 3 QOB x 50 YOB dummies (147) 177 instruments, 176 DOF in NR2 test

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