Robust Inference for the Frisch Labor Supply Elasticity
研究发现两阶段最小二乘法估计弗里斯弹性时存在统计检验效力不对称问题，导致t检验难以检测出显著的正弹性；使用安德森-鲁宾检验可避免该问题，并基于NLSY97数据得到年轻男性弹性0.60且高度显著的结果。
Many studies estimate the Frisch elasticity via two-stage least squares (2SLS) regression of hours changes on wage changes. However, 2SLS suffers from a power asymmetry problem that makes estimates far away from ordinary least squares appear spuriously imprecise. Hence, it is difficult for t-tests to detect a positive Frisch elasticity. We illustrate the problem using NLSY97 data. We estimate an elasticity of 0.60 for young men, but the t-test indicates that it is insignificant. The Anderson-Rubin (AR) test, which avoids the power asymmetry problem, indicates that it is highly significant. We argue that the AR test should be widely adopted in lieu of the t-test in instrumental variable applications.