内生性问题：处理方法与进展 - Stata

1 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.

2 A1: Maybe yes, maybe not. C1: ( - - ). C2: (0/1). Q2: . A2: IV ; ; ;. A2: RDD, 600 599 601 .. A3: PSM, .. Measurement Error (ME): . + x* + u True model : y =. x* + , E[ ] =. x= 0. Empirical model : y = + x + . + x* + u y=. = + ( x ) + u = + x + ( u ). Cov ( x, ) 0 ? = + x + . Stata commands: eivreg | sem | logitem | simex | cme | Ewreg | XTEWreg . Measurement Error (ME): . - . 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|, Erickson and Whited (2012) |RFS|. I it CFit . = 0 + Q. 1 it + 2 + it Kit 1 Kit 1 . T. Whited : Higher Order Moments GMM (HGMM) | Signs Estimator (SigE). Erickson and Whited(2012) |RFS| Average q Marginal q HGMM, Dynamic Panel data , IV. Minimum Distance Technique ( Stata codes). Stata commands: | Ewreg | XTEWreg |.. GMM (IV-GMM). (Panel data Models).

3 Heckman Treatment effect . (DID). (PSM). (RDD). (SCM). SEM . : .. ( ). ( ).. ( 11 ). ( ). ( ). IV-GMM . y = a + X + . Z. IV Corr(Z, ) = 0 . 2 SLS Corr(Z, ) = 0 . Z1, Z2 X . GMM. E[Z1' ] = 0, E[Z2' ] = 0, . Stata commands: ivregress | ivreg2 | gmm : GMM. w1. w2. OLS w1. w2w3. x w3. IV. 2 SLS. IV-2 SLS . IV. 2 SLS. Stage1: reg X on Z, get X_hat Stata2: reg Y on X_hat, get This is wrong! (SE is biased). : ivregress 2sls y x1 x2 (x3 x4 = z1 z2 z3). GMM . Moment Condition (MC, ). Lars Peter Hansen (SMC).. Fixed Effects Model (FE).. FE : yit = 0 + i + X it' + it 0 + X it' + uit POLS : yit =.. uit= i + it i : , CEO , .. FE . Stata commands: xtreg, fe | xi: regress | areg : 20. 15. 10. 5. 0. -10 -5 0 5 10. x 30. 25. 20. 15. 10. 5. 0 5 10 15 20 25. x 4. 2. 0. -2. -4. -10 -5 0 5 10. x . Fixed Effects Model (FE).. FE : yit = 0 + i + X it' + it FE . : . yit = X it' + it ( yit yit ) = ( X it' X it' ) + ( it it ).

4 1.. Ti where, yit = t =1. yit Ti . Fixed Effects Model (FE).. Flannery and Rangan (2006) |JFE| . Lemmon et al. (2008) |JF| . Malmendier et al.(2011) |JF| ( ) . Graham et al.(2012) |RFS| . (2012) | | . Petersen(2009) |RFS| . Cameron and Miller (2015) |JHR| . : . Dynamic Panel data Models . i + yit 1 + X it' + it yit = (1) || . i yit 2 + X i't 1 + it 1 (2) || . yit 1 =+. yit yit 1 + X it' + it = (3) || , . =. yit 1 yit 1 yit 2 || OLS, FE GMM.. =. it it it 1 || IVs for yit 1: yit 2 yit 3 yit 4 yit 2. Corr ( yit 1 , it ) 0 || OLS, FE GMM. Stata commands: xtabond | xtdpdsys | xtdpd | xtlsdvc | xtregdhp | xtabond2.. Dynamic Panel data Models . Aghion et al.(2009) |JM| ( ). Brown et al.(2009) |JF| ( ). Wintoki et al.(2012) |JFE| . ( ). Flannery and Hankins(2013) |JCF| : . Seo and Shin (2017) |JoE| . : . Dynamic Panel data Models . (long-difference, LD). Hahn et al.(2007) |JE| T y . Huang and Ritter(2009) |JFQA|.

5 Han-Phillips dynamic panel data model Han and Phillips(2010) |ET| Linear Dynamic Panel data Regression y Panel Unit Root Test (Quantile Dynamic Panel data ). Galvao(2011) |ET| Quantile regression for dynamic panel data VAR (Panel VAR models). Holtz-Eakin et al.(1988) |E~trica| Arellano and Bond(1991) |RES| . Love and Zicchino(2006) |QREF| Canova and Ciccarelli (2013, Survey). Abrigo and Love (2016, Stata Journal). Stata commands: xtregdhp | gmm | pvar | pvar2 | xtvar . Spatial Dynamic Panel data Models Lee, , J. Yu, 2010, A spatial dynamic panel data model with both time and individual fixed effects, Econometric Theory, 26 (02), pp. 564-597. Yu, J., R. de Jong, Lee, 2012, Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration, Journal of Econometrics, 167 (1), pp. 16-37. Lee, , J. Yu, 2010, Some recent developments in spatial panel data models, Regional Science and Urban Economics, 40 (5), pp.

6 255-271. ( ). Yu, J., Lee, 2012, Convergence: A spatial dynamic panel data approach, Global Journal of Economics, 1 (1), pp. forthcoming. ( ). Lee, , J. Yu, 2011, Estimation of spatial panels , Now Publishers Inc. (Book).. Difference-In-Difference (DID). ( ) . 2009 2011 Difference ( ) 16,000 20,000 4,000 . ( ) 12,000 17,000 5,000 . Difference -1,000.. 50.. 45. 40. : (ADA). 1992 7 .. 35. 30 . 25. 20. 15 . 10. 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996.. Source: Acemoglu and Angrist (2001, JPE) . Difference-In-Difference (DID).. yit = 0 + 1 Treati + 2 Postit + Treati Postit + 3 X it + it . yit = 0 + 1 Treati + 2 Yeart + Treati Yeart + 3 X it + 4 X it Yeart + it Stata commands ( DID ). global controls z1 z2 z3 z4 . reg y Treat # ##($controls). Stata commands: diff | ddid | regress . Difference-In-Difference (DID).. PSM + DID. (Treat) help ddid : . Difference-In-Difference (DID).

7 Cooper et al. (2005) |JF| . Villalonga (2004) |FM| DID Heckman Chhaochharia and Grinstein (2009) |JF| CEO . Fr sard (2010) |JF| . Black and Kim (2012) |JF|, , DID, 2 SLS, 3 SLS. Tsoutsoura (2015) |JF|, .. Propensity Score Matching Method (PSM).. Yi = + Di + X i' + i =. E[Yi | Di = 1, X i =. x ] E[Yi | Di = 0, X i =. x]. {observable} {unobservable}. ( ). PSM Logit PS . Stata commands: teffects psmatch | kmatch | psmatch2 | optmatch2. | ccmatch | cem . Propensity Score Matching Method (PSM).. : Propensity Score (PS ). Logit(Size, Industry, ROA, Leverage, Ownership, .) PS .. : . Propensity Score Matching Method (PSM).. =. C (i ) min pi p j C2. j . {p }. C1. C=. (i ) j pi p j < r T. Control .. Propensity Score Matching Method (PSM).. Cooper et al. (2005) |JF| . Hellmann et al. (2008) |RFS| . Campello et al. (2010) |JFE| CFO . Faulkender and Yang (2010) |JFE| . Michaely and Roberts (2012) |RFS|.

8 Faccio, Marchica and Mura(2016) |JCF| CEO .. Self-Selection Models (y) . Case I: . Case II: ( ). , y = . (Heckman selection model).. : y is observed only if : . Treatment Effect Models 0/1 . Stata commands: etregress | heckman | ivprobit | cmp| itreatreg | mtreatreg | etpoisson | treatoprobit| etpoisson . Treatment Effect Models . Laeven and Levine (2007) |RFS| . Gompers et al. (2010) |RFS| . Ayyagari et al. (2010) |RFS| , . Ross (2010) |RFS| , . Core and Guay (2001) |JFE| . Lee and Masulis (2009) |JFE| . Masulis and Mobbs (2011) |JF| . Huang, Lian and Li(2016) |CER| . : . Regression Discontinuity Designs (RDD). RDD: . Stata commands: | rd | rdrobust | rdplot | rdcv | next RDD ( , Jump). 4. Control Treat 3. Y1 ( ). 2.. Y0 ( ). ( ). 1 0. -1. 0 Cut point 1. Assignment variable (x). RDD ( , ). 4. Control Treat 3 2.. ( ). 1 0. -1. 0 .4 CP(.5) .6 1. RDD. Source: Lee and Lemieux (2010, |JEL|, Figure.)

9 1). : Notes: .. Source: Lee and Lemieux (2010, |JEL|, Figure. 7). : . Regression Discontinuity Designs (RDD).. Chava and Roberts (2008) |JF| . Roberts and Sufi (2009) |JF| . Iliev (2010) |JF| . Garmaise and Natividad (2010) |RFS| . Cu at et al.(2010) |NBER| ( ). Baker et al.(2011) |JFE| . , , (2016) | |, .. (Synthetic control methods, SMC). Abadie, A., A. Diamond, J. Hainmueller, 2010, Synthetic control methods for comparative case studies: Estimating the effect of california's tobacco control program, Journal of the American Statistical Association, 105 (490): 493-505. Q: . 1989 (99 ). A . 1989 (Year<1989). (Year>1989) = Y( ) Y( ). 140. California 120 rest of Per-capita cigarette sales (in packs). 40 60 80 100. Passage of Proposition 99. 20 0. 1970 1975 1980 1985 1990 1995 2000. Year 140 California synthetic California 120. Per-capita cigarette sales (in packs). 40 60 80 100.

10 Passage of Proposition 99. 20 0. 1970 1975 1980 1985 1990 1995 2000. Year Gap in per-capita cigarette sales (in packs). -30 -20 -10 0 10 20 30. 1970. 1975. 1980. Passage of Proposition 99. Year 1985. 1990. 1995. 2000. Gap in per-capita cigarette sales (in packs). -30 -20 -10 0 10 20 30. 1970. 1975. 1980. Year 1985.. 1990. 1995. 2000.. ( ).. Fazzari et al. (1988), - .. ( ). ( Pose). ( ).. : .. Wintoki et al. (2008) Coles et al. (2007) Tucker (2011) Lee (2005). Roberts and Whited (2011) Imbens and Wooldridge (2009). Imbens and Lemieux(2008) JE, RDD. Lee and Lemieux(2010) JEL, RDD. Stata . IV-GMM Stata B4_IV_GMM. Stata B7_Panel Stata ( )Hansen_1999( Stata xtthres). PSM Stata ( ) Lian_2012_PSM. : . Aghion, P, Bacchetta P, Ranciere R, Rogoff K (2009). Exchange rate volatility and productivity growth: The role of financial development. Journal of Monetary Economics, 56 (4): 494-513.