| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29978 |
| 来源ID | Working Paper 29978 |
| Should Copula Endogeneity Correction Include Generated Regressors for Higher-order Terms? No, It Hurts | |
| Yi Qian; Hui Xie; Anthony Koschmann | |
| 发表日期 | 2022-05-16 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Causal inference in empirical studies is often challenging because of the presence of endogenous regressors. The classical approach to the problem requires using instrumental variables that must satisfy the stringent condition of exclusion restriction. A forefront of recent research is a new paradigm of handling endogenous regressors without using instrumental variables. Park and Gupta (Marketing Science, 2012) proposed instrument-free estimation using copulas that has been increasingly used in practical applications to address endogeneity bias. A relevant issue not studied is how to handle the higher-order terms (e.g., interaction and quadratic terms) of endogenous regressors using the copula approach. Recent applications of the approach have used disparate ways of handling these higher-order endogenous terms with unclear consequences. We show that once copula correction terms for the main effects of endogenous regressors are included as generated regressors, there is no need to include additional correction terms for the higher-order terms. This simplicity in handling higher-order endogenous regression terms is a merit of the instrument-free copula bias correction approach. More importantly, adding these unnecessary correction terms has harmful effects and leads to sub-optimal solutions of endogeneity bias, including finite-sample estimation bias and substantially inflated variability in estimates. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w29978 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587703 |
| 推荐引用方式 GB/T 7714 | Yi Qian,Hui Xie,Anthony Koschmann. Should Copula Endogeneity Correction Include Generated Regressors for Higher-order Terms? No, It Hurts. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29978.pdf（268KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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