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    題名: 追蹤資料分量迴歸之內生性問題
    Panel Data Quantile Regression with Endogeneity
    作者: 朱韋杰
    Chu, Wei-Chieh
    貢獻者: 林馨怡
    Lin, Hsin-Yi
    朱韋杰
    Chu, Wei-Chieh
    關鍵詞: 分量迴歸
    追蹤資料
    內生性
    日期: 2018
    上傳時間: 2018-07-03 17:33:51 (UTC+8)
    摘要: 本文結合 Canay(2011)和 Lee(2007)的做法，提出三階段估計，以解決追蹤資料分量迴歸模型的內生性問題。本論文提出的方法具有估計簡便且計算快速的優點，同時本論文利用數學證明其大樣本性質。最後，經由蒙地卡羅(Monte Carlo)模擬，本論文發現，在小樣本之下，本論文提出的三階段估計確實可以有效解決追蹤資料分量迴歸內生性問題。三階段估計相較於文獻的其他估計方法，可大幅地減少估計時間。
    參考文獻: Amemiya, A., Angrist, J.D., Imbens, G.W., 2006, Instrumental Variables estimates of the effect of subsidized training on the quantiles of trainee earnings. Econo-metrica, 70, 91–117.
    Canay, I.A., 2011, A simple approach to quantile regression for panel data. Econometrics Journal, 14, 368–386.
    Chernozhukov, V., and C. Hansen, 2005, An IV model of quantile treatment effects.Econometrica, 73, 245–261.
    Chernozhukov, V., and C. Hansen, 2006, Instrumental quantile regression inference for structural and treatment effect models. Journal of Econometrics, 123, 491–525.
    Chesher, A.D., 2003, Identification in nonseparable models. Econometrica, 71, 1405–1441.
    Galvao, A.F., 2011, Quantile regression for dynamic data with fixed effects. Journal of Econometrics, 164, 142–157.
    Galvao, A.F., and Montes-Rojas, G.V., 2010, Penalized Quantile regression for dynamic panel data. Journal of Statistical Planning and Inference, 140, 3476–3497.
    Harding, M., and Lamarche, C.,2009, A quantile regression approach for estimating panel data models using instrumental variables. Economics Letters, 104, 133–135.
    Hong, H., and Tamer, E., 2003, Inference in censored models with endogenous regressors. Econometrica, 71, 905–932.
    Imbens, G.W., and Newwy, W.K., 2003, Identification and estimation of triangular simultaneous equations models without additivity. MIT working paper.
    Koenker, R., 2004, Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91, 74–89.
    Koenker, R. and G. Bassett, 1978, Regression quantiles. Econometrica, 46, 33–50.
    Lee, S., 2007, Endogeneity in quantile regression models : A control function approach. Journal of Econometrics, 141, 1131–1158.
    Newey, W.K., Powell, J.L., and J.L., Vella, 1999, Nonparametric estimation of triangular simultaneous equations model. Econometrica, 67, 565–603.
    van der Vaart, A. W. 1998, Asymptotic Statistic. Cambridge:Cambridge University Press.
    van der Vaart, A. W. and J. A. Wellner W. 1996, Weak Convergence and Empirical Processes. New York : SpringerVerlag.
    描述: 碩士
    國立政治大學
    經濟學系 
    105258030
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0105258030
    資料類型: thesis
    DOI: 10.6814/THE.NCCU.ECONO.001.2018.F06
    顯示於類別:[經濟學系] 學位論文

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