政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118285
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 110944/141864 (78%)
造访人次 : 48013598      在线人数 : 964
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/118285


    题名: 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
    贡献者: 林馨怡
    Lin, Hsin-Yi
    朱韋杰
    Chu, Wei-Chieh
    关键词: 分量迴歸
    追蹤資料
    內生性
    日期: 2018
    上传时间: 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
    数据类型: thesis
    DOI: 10.6814/THE.NCCU.ECONO.001.2018.F06
    显示于类别:[經濟學系] 學位論文

    文件中的档案:

    没有与此文件相关的档案.



    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈