Transcription of 内生性问题：处理方法与进展 - Stata
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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 + 1 Qit + 2 CashFlowit + 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: .. + 1 Controlsi + 2 Educationi + i Incomei =. Q1.
• 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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