Microeconometria

The Single-Equation Linear Model and OLS Estimation

Ricardo da Silva Freguglia
September 22, 2015

Ricardo da Silva Freguglia

Microeconometria

September 22, 2015

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4.1 Overview of the Single-Equation Linear Model

Projeo Linear:
y = 0 + 1 x1 2 x2 + ... + k xk + u

(4.1)

onde:
y, x1 , x2 , x3 , ..., xk so observaes aleatrias
Hiptese sobre u : OLS
u : termo aleatrio de erro no observvel e 0 , 1 , 2 , ..., k
E (u) = 0,

Cov (xi , u) = 0

j = 1, 2, ..., K

E (u|x1 , x2 , ..., xk ) = E (u|x) = 0

(4.2)

(4.3)

Modelo estrutural
Estimao da equao

Ricardo da Silva Freguglia

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4.1 Overview of the Single-Equation Linear Model

Assumindo (4.1) e (4.3)

E (y |x1 , x2 , ..., xk ) = 0 + 1 x1 2 x2 + ... + k xk

(4.4)

A endogeneidade E (u|x) 6= 0 ocorre devido a:

(i) Variveis omitidas

E (y |x, q) q

no observvel (vis de varivel

omitida)

E (y |x) 6= E (y |x, q)

x, q Auto -seleo

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4.1 Overview of the Single-Equation Linear Model

(ii) Erros de medida:

xk xk

(iii) Simultaneidade:
x e y so medidas simultaneamente

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4.2 Asymptotic Properties of OLS

y = x + u

(4.5)

Onde x um 1 x K vetor da regresso e (1 , 2 , ..., k )0 um K x

1 vetor;
(yi , xi ) iid
yi = xi + ui

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Microeconometria

(4.6)

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4.2.1 Consistency

OLS.1:
E (x0 u) = 0

OLS. 2:
postoE (x 0 x) = k

Uma varivel no pode ser determinada como uma combinao linear

de outras 2 variveis, i.e., x'x deve ser inversvel = matriz no
singular; x deve variar e esta varincia no deve ser espria.
OLS1 + OLS2 vetor identicado.

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Microeconometria

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4.2.1 Consistency

Pr-multiplique (4.5) por

x',

e tome expectativas:

= [E (x0 x)]1 E (x0 y )

(x,y) observado,
=

!1

N 1 x0 x
i=1

+ N 1 x0 x
i=1

Ricardo da Silva Freguglia

i=1

!1

N 1 x0i yi

N 1 x0i ui

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i=1

September 22, 2015

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4.2.1 Consistency

OLS.2 (x0 x) no singular

!1
= A1
plim N 1 x0 x

i=1

!1
= E [x 0 u] = 0
OLS.1 plim N 1 x0 ui

i=1

plim = + A1 .0 =

[Slutsky : plim g(xN ) = g(plim xN )

Teorema 4.1 (consistncia do OLS): OLS1 + OLS2 MQO
consistente.
No viesado E [u|x] = 0
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4.2.2 Asymptotic Inferece Using OLS

N( ) =

N 1

xx

i=1

Ricardo da Silva Freguglia

!
0
i

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N 1/2

i=1

!
0
xi ui

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4.2.2 Asymptotic Inferece Using OLS

N 1/2 x0i ui
d Normal

(0,B)

i=1

Onde

uma matriz K x K
: i = 1, 2, ...} iid

{(x0i ui )

B E (u 2 x0 x)
N

N( ) = A1 N 1/2 x0i ui

(4.7)
!

i=1

d N(A1 0, A1 A1 )

B E (u 2 x0 x) = 2 E [x0 x] = 2 A

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4.2.2 Asymptotic Inferece Using OLS

OLS.3: Homocedasticidade
B E (u 2 x0 x) = 2 E [x0 x] = 2 A

Onde:
2 E (u 2 )

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4.2.3 Heteroskedasticity-Robust Inference

Teorema 4.2 (Asymptotic normality of OLS):

OLS.3:

= 2A
Avar
() = 2 (X0 X)1

(4.10).

Avar
() 6= 2 (X0 X)1
1 B
1 /N
^A
Avar
() = A
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4.2.3 Heteroskedasticity-Robust Inference

Teremos ento:
Avar
( ) =

A1 BA1
N

A E [x 0 x]

Como no observamos U2i , basta estimarmos Ui

N 1

ui2 xi0 xi

i=1

Ricardo da Silva Freguglia

!
p E [u 2 x 0 x] = B

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4.2.3 Heteroskedasticity-Robust Inference

ui ui = yi xi
N

B = N 1 ui2 x 0 x
i=1

B E (u 2 x0 x)
!
Avar
() = (X0 X)1

ui2 x 0 x

i=1

Ricardo da Silva Freguglia

Microeconometria

(X0 X)1

(4.11)

September 22, 2015

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4.2.4 Lagrange Multiplier (Score)Tests

y = x1 1 + x2 2 + u
u em x1 , x2

(4.14)

(4.15)

LM NRu2

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Microeconometria

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4.3.1 OLS ignoring the Omitted Variables

Modelo Estrutural:
E (y |x1 , x2 , ..., xk , q) = 0 + 1 x1 + 2 x2 + ... + k xk + q
(4.19)

y = 0 + 1 x1 2 x2 + ... + k xk + q + v
E (v |x1 , x2 , ..., xk , q) = 0

(4.20)

y = 0 + 1 x1 2 x2 + ... + k xk + u

Ricardo da Silva Freguglia

Microeconometria

(4.18)

(4.21)

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4.3.1 OLS ignoring the Omitted Variables

u q + v

(4.22)

Ignorando 'q', os ' s ' no sero estimados corretamente (veja que 'q'
est presente: u q + v )
q = 0 + 1 x1 + k xk + r

(4.23)

onde:
E (r ) = 0
Cov (xj , r ) = 0
j = 1, 2, ..., K
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4.3.1 OLS ignoring the Omitted Variables

y = (0 + 0 ) + (1 + 1 )x1 + (2 + 2 )x2 + ... + (k + k )xk + v + r

plimj = j + j
plimj = j , j = 1, ..., K 1
plimj = k + [Cov (xk , q)/Var (xk )]

(4.24)

Regressor:
k = Cov (xk , q)/Var (xk )
j = 0
j =1
k 1
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4.3.2 The Proxy Variable-OLS Solution

Redundante: (z redundante)
(4.25)

E (y |x, q, z) = E (y |x, q)

Correlao entre q e xj zero quando condicionamos em z

L(q|1, x1 ...xk , z) = L(q|1, z)
q = 0 + 1 z + r

Ricardo da Silva Freguglia

Microeconometria

(4.26)

(4.27)

September 22, 2015

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4.3.2 The Proxy Variable-OLS Solution

Cov (xj , r ) = 0
j = 1, 2, ..., K

Proxy imperfeita:
y = (0 + 0 ) + 1 x1 + ... + k xk + 1 z + (r + v )

(4.28)

q = 0 + p1 x1 + ... + pk xk + 1 z + r
plimj = j + j

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4.3.2 The Proxy Variable-OLS Solution

Examples (4.3):
log (wage) = 0 + 1 exper + 2 tenure + 3 married + 4 south + 5 urban +
6 black + educ + abil + v

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4.3.3 Models With Interactions in Unobservables

y = 0 + 1 x1 + ... + k xk + 1 q + 2 xk q + v )
E (v |x, q) = 0
E (v |x,q)
xk

Ricardo da Silva Freguglia

= k + 2 q

Microeconometria

(4.30)

(4.31)
(4.32)

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4.3.3 Models With Interactions in Unobservables

Assumindo:
E (q) = 0
E (k + 2 q) = k
E(q|x, z) = E(q|z) = 1 z

(4.33)
(4.34)

E (q|x, z) = 0 + 1 x1 + ... + k xk + 1 1 z + 2 1 zxk z

Ricardo da Silva Freguglia

Microeconometria

(4.35)

September 22, 2015

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4.3.3 Models With Interactions in Unobservables

Usando a Propriedade CV.3 no Appendix 2A:

Var (y |x, z) = 2 + (1 + 2 xk )2
Var (q|x, z)

Exemplo 4.5: Returns to Education Depends on Ability

log (wage) = 0 + 1 exper + 2 tenure + 3 married + 4 south + 5 urban +
6 black + educ + 1 abil + 2 abil.educ + v

Ricardo da Silva Freguglia

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September 22, 2015

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4.4.1 Mesurement Error in the Dependent Variable

(4.37)

y = 0 + 1 x1 + ... + k xk + v
E (y |x1 , ..., xk ) onde y 6= y
e0 = y y

(4.38)

y = 0 + 1 x1 + ... + k xk + v + e

(4.39)

E (v ) = 0
E (e0 ) = 0
cov [v , xj ] = 0
cov [e0 , xj ] = 0

Assumindo:
Var (v + e0 ) = v2 + 02 > v2
e0 e v so no correlacionados
Ricardo da Silva Freguglia

log (y ) = log (y ) + e0

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(4.40)

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4.4.1 Mesurement Error in the Dependent Variable

y = 0 + 1 x1 + ... + k xk + v

(4.41)

onde: y, x1 ,..., xk1 so observaes, mas xk no

xk observado
cov [v , xk ] = 0
ek = xk xk

(4.42)

cov (xk , ek ) = 0

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Microeconometria

(4.43)

September 22, 2015

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4.4.1 Mesurement Error in the Dependent Variable

xk = xk ek
y = 0 + 1 x1 + ... + k xk + (v k ek )
cov [xk , ek ] = 0

Ricardo da Silva Freguglia

Microeconometria

(4.44)

(4.45)

September 22, 2015

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4.4.1 Mesurement Error in the Dependent Variable

2
cov (xk , ek ) = E (xk ek ) = E (xk ek ) + E (ek ) = ek



2
plim(k ) = k r2 /r2k + ek
k

(4.46)

(4.47)

xk = 0 + 1 x1 + 2 x2 + ... + k1 xk1 + rk

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4.4.1 Mesurement Error in the Dependent Variable

No caso nica varivel explicativa (K=1) - > vis de atenuao

plim(1 ) = k x21 /x2 + e21 =

Ricardo da Silva Freguglia

Microeconometria

var (x1 )
var (x1 )

(4.48)

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