摘要翻译:
在单一IV模型中,目前的实践依赖于第一阶段F超过某个阈值(例如,10)作为信任t比推论的标准,尽管这产生了反保守检验。我们证明了一个真的5%测试需要F大于104.7。保持10作为阈值需要将临界值1.96替换为3.43。我们重新检查了57篇AER论文,发现修正后的推论导致最初假定的统计显著结果中的一半变得不显著。我们引入了一个更强大的测试,即tF过程,它提供了依赖于F的调整T-比临界值。
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英文标题:
《Valid t-ratio Inference for IV》
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作者:
David S. Lee, Justin McCrary, Marcelo J. Moreira, Jack Porter
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
In the single IV model, current practice relies on the first-stage F exceeding some threshold (e.g., 10) as a criterion for trusting t-ratio inferences, even though this yields an anti-conservative test. We show that a true 5 percent test instead requires an F greater than 104.7. Maintaining 10 as a threshold requires replacing the critical value 1.96 with 3.43. We re-examine 57 AER papers and find that corrected inference causes half of the initially presumed statistically significant results to be insignificant. We introduce a more powerful test, the tF procedure, which provides F-dependent adjusted t-ratio critical values.
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PDF链接:
https://arxiv.org/pdf/2010.05058