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DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 管中閔 | |
dc.contributor.author | Jiun-Hua Su | en |
dc.contributor.author | 蘇俊華 | zh_TW |
dc.date.accessioned | 2021-06-15T06:42:48Z | - |
dc.date.available | 2011-07-11 | |
dc.date.copyright | 2011-07-11 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-07 | |
dc.identifier.citation | References
Albrecht, J., Van Vuuren, A., and Vroman, S. (2009), “Counterfactual distributions with sample selection adjustments: Econometric theory and an application to the Netherlands”, Labour Economics, 16(4), 383–396. Blundell, R. and Powell, J.L. (2003), “Endogeneity in nonparametric and semiparametric regression models”, in Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, volume 2, 655–679. Chernozhukov, V., Fernandez-Val, I., and Melly, B. (2009), “Inference on counterfactual distributions”, Working Paper. Chernozhukov, V. and Hansen, C. (2005), “An IV model of quantile treatment effects”, Econometrica, 73(1), 245–261. --------- (2006), “Instrumental quantile regression inference for structural and treatment effect models”, Journal of Econometrics, 132(2), 491–525. --------- (2008), “Instrumental variable quantile regression: A robust inference approach”, Journal of Econometrics, 142(1), 379–398. Chernozhukov, V., Imbens, G.W., and Newey, W.K. (2007), “Instrumental variable estimation of nonseparable models”, Journal of Econometrics, 139(1), 4–14. Chesher, A. (2003), “Identification in nonseparable models”, Econometrica, 71(5), 1405–1441. Firpo, S., Fortin, N., and Lemieux, T. (2009), “Unconditional quantile regressions”, Econometrica, 77(3), 953–973. Hampel, F.R., Ronchetti, E.M., Rousseeuw, P.J., and Stahel, W.A. (2005), Robust Statistics: The Approach Based on Influence Functions, Wiley-Interscience. Horowitz, J.L. and Lee, S. (2007), “Nonparametric instrumental variables estimation of a quantile regression model”, Econometrica, 75(4), 1191–1208. Imbens, G.W. and Newey,W. K. (2009), “Identification and estimation of triangular simultaneous equations models without additivity”, Econometrica, 77(5), 1481–1512. Koenker, R. and Bassett, G. (1978), “Regression quantiles”, Econometrica, 46(1), 33–50. Lee, S. (2007), “Endogeneity in quantile regression models: A control function approach”, Journal of Econometrics, 141(2), 1131–1158. Li, Q. and Racine, J.S. (2007), Nonparametric econometrics: Theory and practice, Princeton University Press. Machado, J.A.F. and Mata, J. (2005), “Counterfactual decomposition of changes in wage distributions using quantile regression”, Journal of Applied Econometrics, 20(4), 445–465. Melly, B. (2005), “Decomposition of differences in distribution using quantile regression”, Labour Economics, 12(4), 577–590. Powell, D. (2009), “Unconditional quantile regression for panel data with exogenous or endogenous regressors”, Working Paper. --------- (2010), “Unconditional quantile treatment effects in the presence of covariates”, Working Paper. --------- (2011), “Unconditional quantile regression for exogenous or endogenous treatment variables”, Working Paper. Rothe, C. (2010), “Identification of unconditional partial effects in nonseparable models”, Economics Letters, 109(3), 171–174. Stoker, T.M. (1991), “Equivalence of direct, indirect, and slope estimators of average derivatives”, in Nonparametric and Semiparametric Methods in Econometrics and Statistics, Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, 99–118. Van der Vaart, A.W. (2000), Asymptotic statistics, Cambridge University Press. Wooldridge, J.M. (2004), “Estimating average partial effects under conditional moment independence assumptions”, Unpublished Manuscript, Michigan State University. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47905 | - |
dc.description.abstract | 傳統的分量迴歸主要用於探討被解釋變數的條件分配, 然而政策分析卻可能需要評估該變數的非條件分配。 例如, 我們透過羅倫茲曲線 (Lorenz curve) 的改變, 來闡述所得不均的變化, 而羅倫茲曲線是由所得的非條件分配建構而成。 Firpo, Fortin, and Lemieux (2009, 以下簡稱 FFL), 在不可分離的模型架構 (nonseparable model ) 下, 假設條件分配不變 (unaffected conditional distribution), 提出非條件分量迴歸 (unconditional quantile regression)。 FFL的非條件分量迴歸能估計非條件分量部份效果
(unconditional quantile partial effect), 並以此分析政策。 但是在實證研究的應用上, 由於解釋變數可能具有內生性, 這將導致條件分配不變的假設難以成立, 進而限縮非條件分量迴歸的實用性。 本文延伸 FFL 的非條件分量迴歸。 在不可分離的聯立模型架構 (nonseparable triangular simultaneous equations model ) 下, 我們建構一個內生解釋變數的非條件分量部份效果之估計式, 並在一般條件下, 證明此估計式具有一致性和常態的極限分配。我們藉由引入控制變數 (control variable), 避免了條件分配不變的假設。因此本文的估計方法將更適用於實證研究。 此外, 我們提出在給定分量下, 針對非條件分量部份效果線性假設的檢定統計量。 模擬的結果顯示, 當樣本數充份大時, 本文的估計方法能有效地降低 估計偏誤和均方差。 | zh_TW |
dc.description.abstract | In this paper, we extend Firpo, Fortin, and Lemieux’s (2009) unconditional quantile regression in the presence of an endogenous variable X. An estimator for the unconditional quantile partial effect (UQPE) of X is constructed in a nonseparable triangular simultaneous equations model via a control variable approach. By introducing a control variable, we avoid the assumption of unaffected conditional distribution imposed in Firpo et al. (2009) so that our estimator is more generally applicable in many empirical studies. We demonstrate that our estimator for the UQPE is consistent and asymptotically normally distributed under some regularity conditions. In addition, a quadratic-form test statistic is proposed to test linear hypotheses on the UQPE of all covariates for a given quantile. Finally, the results of Monte Carlo simulation suggest that our estimation of the UQPE of an endogenous variable effectively reduces the bias and mean square error when the sample size is sufficiently large. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T06:42:48Z (GMT). No. of bitstreams: 1 ntu-100-R96723078-1.pdf: 1497532 bytes, checksum: 8542dc85f9f526bc18ed13c422c1f200 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | Contents
1 Introduction 1 2 Literature Review 3 2.1 Unconditional Quantile Regression 3 2.2 Identification of Unconditional Quantile Partial Effect in the Presence of an Endogenous Variable 7 2.3 Conciliation between FFL and Rothe 9 2.4 Alternatives to Estimation of Marginal (Unconditional) Distribution 11 3 Estimation and Hypothesis Test 13 3.1 How to Estimate and Test the UQPE under Endogeneity 13 3.2 Alternatives to Estimation of the UQPE 16 4 Monte Carlo Simulation 18 5 Conclusion 20 Appendix 21 References 51 | |
dc.language.iso | en | |
dc.title | 估計與檢定具內生性的非條件分量部分效果 | zh_TW |
dc.title | Estimating and Testing Unconditional Quantile Partial Effect under Endogeneity | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張勝凱,黃景沂,林馨怡 | |
dc.subject.keyword | 控制變數,內生性,不可分離模型,非條件分量部份效果,非條件分量迴歸, | zh_TW |
dc.subject.keyword | Control Variable,Endogeneity,Nonseparable Model,Unconditional Quantile Partial Effect,Unconditional Quantile Regression, | en |
dc.relation.page | 56 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2011-07-07 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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