Curs intensiv Microeconometrics with STATA

Suntem onorati sa il avem ca lector al cursului ā€¯Microeconometrics with STATAā€¯ pe David Drukker, care va sustine si o lucrare invitata in cadrul sesiunilor stiintifice ale conferintei.

Minibiografie David Drukker

Title: Solving the two-step estimation problem using GMM in STATA

Description:

Many estimators in statistics, econometrics, and biostatistics are cast as multi-step estimators. Multi-step estimators produce consistent point estimates but the standard errors must be corrected as they are inconsistent. This problem is so common that it even emerges when estimating population averaged effects from a regression.

For instance, inverse-probability weighted (IPW) estimators are a weighted average in which the weights are estimated in the first step. Two-step estimators use first-step estimates to estimate the parameters of interest in a second step. The two-step-estimation problem arises because the second step ignores the estimation error in the first step.

One solution is to convert the two-step estimator into a one-step estimator. This one-step approach produces consistent point estimates and consistent standard errors. There is no two-step problem because all the computations are performed jointly.

This talk introduces the solution of stacked moment equations which is a special case of the generalized method of moments (GMM) and it shows how to implement this solution using the GMM command in STATA.

FORMULAR DE INSCRIERE:
(Acest formular este doar pentru inscrierea la curs, nu tine loc de inscrierea in audienta generala a ERMAS 2018!!!)
Nume:
Prenume:
Tipul institutiei (principale) la care sunteti afiliat:
Numele institutiei (principale) la care sunteti afiliat:
Adresa de email la care puteti fi contactat:


Copyright © December, 2018 www.feaa.uaic.ro/ermas2018 All rights reserved. Copyright Notice.
Site realizat in colaborare cu FSEGA - UBB, Cluj-Napoca

-->