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Truncated Regression Model
Truncated regression models are a class of models in which the sample has been truncated for certain ranges of the dependent variable. That means observations with values in the dependent variable below or above certain thresholds are systematically excluded from the sample. Therefore, whole observations are missing, so that neither the dependent nor the independent variable is known. This is in contrast to censored regression models where only the value of the dependent variable is clustered at a lower threshold, an upper threshold, or both, while the value for independent variables is available. Sample truncation is a pervasive issue in quantitative social sciences when using observational data, and consequently the development of suitable estimation techniques has long been of interest in econometrics and related disciplines. In the 1970s, James Heckman noted the similarity between truncated and otherwise non-randomly selected samples, and developed the Heckman correction. Est ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Heckman Correction
The Heckman correction is a statistical technique to correct bias from non-randomly selected samples or otherwise incidentally truncated dependent variables, a pervasive issue in quantitative social sciences when using observational data. Conceptually, this is achieved by explicitly modelling the individual sampling probability of each observation (the so-called selection equation) together with the conditional expectation of the dependent variable (the so-called outcome equation). The resulting likelihood function is mathematically similar to the tobit model for censored dependent variables, a connection first drawn by James Heckman in 1974. Heckman also developed a two-step control function approach to estimate this model, which avoids the computational burden of having to estimate both equations jointly, albeit at the cost of inefficiency. Heckman received the Nobel Memorial Prize in Economic Sciences in 2000 for his work in this field. Method Statistical analyses b ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Single-equation Methods (econometrics)
A variety of methods are used in econometrics to estimate models consisting of a single equation. The oldest and still the most commonly used is the ordinary least squares method used to estimate linear regressions. A variety of methods are available to estimate non-linear models. A particularly important class of non-linear models are those used to estimate relationships where the dependent variable A variable is considered dependent if it depends on (or is hypothesized to depend on) an independent variable. Dependent variables are studied under the supposition or demand that they depend, by some law or rule (e.g., by a mathematical functio ... is discrete, Truncated dependent variable, truncated or censored. These include logit, probit and Tobit model, Tobit models. Single equation methods may be applied to time-series, cross section or panel data. External links * Single-equation methods (econometrics), Mathematical and quantitative methods (economics) {{econometri ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Actuarial Science
Actuarial science is the discipline that applies mathematics, mathematical and statistics, statistical methods to Risk assessment, assess risk in insurance, pension, finance, investment and other industries and professions. Actuary, Actuaries are professionals trained in this discipline. In many countries, actuaries must demonstrate their competence by passing a series of rigorous professional examinations focused in fields such as probability and predictive analysis. Actuarial science includes a number of interrelated subjects, including mathematics, probability theory, statistics, finance, economics, financial accounting and computer science. Historically, actuarial science used deterministic models in the construction of tables and premiums. The science has gone through revolutionary changes since the 1980s due to the proliferation of high speed computers and the union of stochastic actuarial models with modern financial theory. Many universities have undergraduate and gradu ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Truncated Distribution
In statistics, a truncated distribution is a conditional distribution that results from restricting the domain of some other probability distribution. Truncated distributions arise in practical statistics in cases where the ability to record, or even to know about, occurrences is limited to values which lie above or below a given threshold or within a specified range. For example, if the dates of birth of children in a school are examined, these would typically be subject to truncation relative to those of all children in the area given that the school accepts only children in a given age range on a specific date. There would be no information about how many children in the locality had dates of birth before or after the school's cutoff dates if only a direct approach to the school were used to obtain information. Where sampling is such as to retain knowledge of items that fall outside the required range, without recording the actual values, this is known as censoring, as opposed ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sampling Bias
In statistics, sampling bias is a bias (statistics), bias in which a sample is collected in such a way that some members of the intended statistical population, population have a lower or higher sampling probability than others. It results in a biased sample of a population (or non-human factors) in which all individuals, or instances, were not equally likely to have been selected. If this is not accounted for, results can be erroneously attributed to the phenomenon under study rather than to the method of sampling (statistics), sampling. Medical sources sometimes refer to sampling bias as ascertainment bias. Ascertainment bias has basically the same definition, but is still sometimes classified as a separate type of bias. Distinction from selection bias Sampling bias is usually classified as a subtype of selection bias, sometimes specifically termed sample selection bias, but some classify it as a separate type of bias. A distinction, albeit not universally accepted, of samplin ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Censored Regression Model
Censored regression models are a class of models in which the dependent variable is censored above or below a certain threshold. A commonly used likelihood-based model to accommodate to a censored sample is the Tobit model, but quantile In statistics and probability, quantiles are cut points dividing the range of a probability distribution into continuous intervals with equal probabilities or dividing the observations in a sample in the same way. There is one fewer quantile t ... and Nonparametric regression, nonparametric estimators have also been developed. These and other censored regression models are often confused with truncated regression models. Truncated regression models are used for data where whole observations are missing so that the values for the dependent and the independent variables are unknown. Censored regression models are used for data where only the value for the dependent variable is unknown while the values of the independent variables are still avail ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of Econometrics
The ''Journal of Econometrics'' is a monthly peer-reviewed academic journal covering econometrics. It was established in 1973. The editors-in-chief are Michael Jansson (University of California Berkeley) and Aureo de Paula (University College London). According to the ''Journal Citation Reports'', the journal has a 2023 impact factor of 9.9. The journal covers work dealing with estimation and other methodological aspects of the application of statistical inference to economic data, as well as papers dealing with the application of econometric techniques to economics Economics () is a behavioral science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services. Economics focuses on the behaviour and interac .... Unusually among journals the title of Fellow of Journal of Econometrics is offered to anyone publishing four or more articles in the Journal.Maasoumi, E. (1992). Fel ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
James Heckman
James Joseph Heckman (born April 19, 1944) is an American economist and Nobel laureate who serves as the Henry Schultz Distinguished Service Professor in Economics at the University of Chicago, where he is also a professor at the college, a professor at the Harris School of Public Policy, Director of the Center for the Economics of Human Development (CEHD), and co-director of Human Capital and Economic Opportunity (HCEO) Global Working Group. He is also a professor of law at the Law School, a senior research fellow at the American Bar Foundation, and a research associate at the NBER. He received the John Bates Clark Medal in 1983, and the Nobel Memorial Prize in Economic Sciences in 2000, which he shared with Daniel McFadden. He is known principally for his pioneering work in econometrics and microeconomics. Heckman is noted for his contributions to selection bias and self-selection in quantitative analysis in the social sciences, especially the Heckman correction, which ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sample (statistics)
In this statistics, quality assurance, and survey methodology, sampling is the selection of a subset or a statistical sample (termed sample for short) of individuals from within a population (statistics), statistical population to estimate characteristics of the whole population. The subset is meant to reflect the whole population, and statisticians attempt to collect samples that are representative of the population. Sampling has lower costs and faster data collection compared to recording data from the entire population (in many cases, collecting the whole population is impossible, like getting sizes of all stars in the universe), and thus, it can provide insights in cases where it is infeasible to measure an entire population. Each observation measures one or more properties (such as weight, location, colour or mass) of independent objects or individuals. In survey sampling, weights can be applied to the data to adjust for the sample design, particularly in stratified samplin ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Guido Imbens. History ''Econometrica'' was established in 1933. Its first editor was Ragnar Frisch, recipient of the first Nobel Memorial Prize in Economic Sciences in 1969, who served as an editor from 1933 to 1954. Although ''Econometrica'' is currently published entirely in English, the first few issues also contained scientific articles written in French. Indexing and abstracting ''Econometrica'' is abstracted and indexed in: * Scopus * EconLit * Social Sciences Citation Index According to the ''Journal Citation Reports'', the journal has a 2020 impact factor The impact factor (IF) or journal impact factor (JIF) of an academic journal is a type of journal ranking. Journals with higher impact factor values are considered mo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrics
Econometrics is an application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics", '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8–22 Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1 p. 1–34Abstract ( 2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference." An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships." Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today. A basic tool for econometrics is the multiple linear regression model. ''Econome ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
