内生性问题：处理方法与进展 - Stata
Stata . . . . 2017-09-17. . . . . . ( ). ( ). ( ). . IV-GMM. (Panel data ). . . Heckman Treatment effect . (DID) (PSM). (RDD). (SCM). (SEM). . ! . . . . ( ability fat). ( ). - ( ). (self-selection). (self-selection). : . . . y = 0 + 1 x1 + 2 x2 + + k xk + . : Pose ! (y , x1 , x1 , ,xk ). rank (X ' X ) = k Cov ( X , ) 0=. = or E[ x1 , x1 , , xk ] 0. . OLS (MLE) ( ). ( ). . . . Tobin's Q. \ . . . . Fazzari et al. (1988, JEL): - . Investit = i + 1Qit + 2CashFlowit + it Refs Fazzari et al. (1988) |JEL| Kaplan and Zingales (1997) |QJE| . Fazzari et al. (2000) |QJE| Kaplan and Zingales (2000) |QJE| . Erickson and Whited (2000) |JPE| Alti (2003) |JF|. \ . Omitted Variable or missing value bias: . True : + 1 x1 + 2 x2 + u1. y=. . + 1 x1. Estimate : y = + u2. if Corr ( x2 , x1 ) 0, then Corr (u2 , x1 ) 0 Endog! . | |. | | | |. . ( ). IV or GMM ( ). : . Omitted Variable bias: . . + 1Controlsi + 2 Educationi + i Incomei =.
• Han-Phillips dynamic panel data model – Han and Phillips(2010 ) | ET |，Linear Dynamic Panel Data Regression 适用于 y 持续性较强的动态面板，Panel Unit Root Test. • 分位数动态面板模型(Quantile Dynamic Panel Data) – Galvao(2011) | ET |，Quantile regression for dynamic panel data. • 面板VAR模型(Panel VAR ...
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