Some Stata-related material by Austin Nichols

  • Intro to Stata. Type "findit nichols" in Stata to see some Stata programs written by me.
  • Weak Instruments (2006 Slides)
  • Causal Inference (2007 Slides)
  • Cluster-robust SEs (2007 Slides)
  • GMM (2008 Slides)
  • Causal inference with observational data Stata Journal 7(4): 507-541. (Last prepublication draft, December 12, 2007.)
  • Erratum and discussion of propensity score reweighting Stata Journal 8(4):532-539. (Last prepublication draft, December 1, 2008.)

    Further Reading on Regression Discontinuity

  • "Regression Discontinuity Designs: A Guide to Practice" by Guido Imbens and Thomas Lemieux.
  • "Manipulation of the Running Variable in the Regression Discontinuity Design: A Density Test" by Justin McCrary.
  • "Waiting for Life to Arrive: A History of the Regression- Discontinuity Design in Psychology, Statistics, and Economics" by Thomas D. Cook
  • "Regression Discontinuity Inference with Specification Error" by David S. Lee and David Card (NBER Technical Working Paper No. 322 Issued in March 2006).

    Further Reading on Matching and Reweighting

  • Morgan, Stephen L. and David J. Harding. 2006. "Matching Estimators of Causal Effects: Prospects and Pitfalls in Theory and Practice." Sociological Methods and Research 35(1)3-60.
  • DiNardo, John. 2002. "Propensity Score Reweighting and Changes in Wage Distributions"
  • Busso, Matias, John DiNardo, and Justin McCrary. 2008. "Finite sample properties of semiparametric estimators of average treatment effects."

    Further Reading on IV

    "Enhanced routines for instrumental variables/GMM estimation and testing" Working paper by Christopher Baum, Mark Schaffer and Steven Stillman
    Abstract: We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.
    "Instrumental variables and GMM: Estimation and testing" Working paper by Christopher Baum, Mark Schaffer and Steven Stillman (Published, The Stata Journal, 3(1), 1-31, 2003.)
    Abstract: We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.
    Victor Chernozhukov, Christian Hansen, Michael Jansson "Inference approaches for instrumental variable quantile regression." Economics Letters, Volume 95, Issue 2, May 2007, Pages 272-277
  • Hoxby's famous "streams" paper, published as: Hoxby, C. M. "Does Competition Among Public Shools Benefit Students And Taxpayers," American Economic Review, 2000, v90(5,Dec), 1209-1238.
  • Rothstein's (2005) Comment on Hoxby (2000)
  • Hoxby's Reply (2005)
  • Rothstein's (2007) Rejoinder
  • Angrist and Krueger. 1991. "Does Compulsory School Attendance Affect Schooling and Earnings?" The Quarterly Journal of Economics, 106(4): 979-1014.
  • Bound, Jaeger, and Baker. 1995. "Problems with Instrumental Variables Estimation when the Correlation Between the Instruments and the Endogenous Explanatory Variables is Weak," Journal of the American Statistical Association, 90(430): 443-450.
  • Bound and Jaeger. 2000. "Do Compulsory School Attendance Laws Alone Explain the Association between Quarter of Birth and Worker Well-Being" Research in Labor Economics
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