Eight published works across econometric theory and applied microeconometrics, identification-robust inference, GEL/GMM estimation, singular variance, and the economics of charitable giving.
Journal article · International Tax and Public Finance · Springer · 2019
How sensitive is the average taxpayer to changes in the tax-price of giving?
Peter G. Backus & Nicky L. Grant · Vol. 26(2), pp. 317–356 · DOI: 10.1007/s10797-018-9500-9 · 5 citations
Identifies a previously unrecognised downward bias in estimates of the tax-price elasticity of charitable donations when non-itemisers are included in the sample. Proposes a consistent estimator based on the Correlated Random Effects Quantile approach, finding that the price elasticity is elastic only in the top income decile, contradicting much of the prior US literature.
CeMMAP Working Paper CWP05/19 · Institute for Fiscal Studies · 2019
Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix
Nicky L. Grant & Richard J. Smith
Establishes an equivalence between singular variance in moment conditions and identification failure, then develops novel asymptotic theory for the generalised Anderson-Rubin statistic that does not assume full rank of the moment variance matrix. Provides confidence regions with pointwise asymptotically correct size under singular variance.
CeMMAP Working Paper CWP23/18 · Institute for Fiscal Studies · 2018
GEL-based inference with unconditional moment inequality restrictions
Nicky L. Grant & Richard J. Smith
Establishes large-sample equivalence between the GEL objective function and non-diagonal GMM in the partial identification setting, generalising existing literature. Proposes conservative confidence regions for the identified set and provides a simulation study comparing GEL and non-diagonal GMM with the standard diagonal GMM approach.
Journal article · Economics Bulletin · 2016
Correlated Random Effects Quantile Estimation of the Tax-Price Elasticity of Charitable Donations
Nicky Lee Grant · Vol. 36(3), pp. 1729–1736
Uses the CRE Quantile estimator of Bache, Dahl & Kristensen (2013) to provide panel quantile estimates of the tax-price elasticity of charitable donations, controlling for unobserved heterogeneity. Finds the price elasticity is decreasing in donation size: very large donors are largely unresponsive to tax incentives, while standard cross-sectional estimates suffer significant downward bias for small- to mid-level donors.
Manchester Economics Discussion Paper 1606 · 2016
Consistent Estimation of the Tax-Price Elasticity of Charitable Giving with Survey Data
Peter Backus & Nicky Grant · University of Manchester
Working paper antecedent to the 2019 International Tax and Public Finance journal article. Develops the consistent estimator for the tax-price elasticity and demonstrates the source of bias in existing methods using survey data.
Working paper · University of Manchester eScholar · 2014
GMM with Weakly Singular Variance
Nicky Grant · 44 pages · Manchester eScholar ID: uk-ac-man-scw:249531
A 44-page working paper extending the analysis of GMM estimation to settings where the moment variance matrix is weakly (rather than strictly) singular. Establishes asymptotic distribution theory for GMM estimators and test statistics under this weaker singularity condition, relevant to a broad class of econometric models where standard assumptions fail.
eScholar page now archived
Book chapter · Advances in Econometrics Vol. 29 · Emerald · 2012
Overcoming the Many Weak Instrument Problem Using Normalized Principal Components
Nicky Grant · In: Essays in Honor of Jerry Hausman · eds. Baltagi, Hill, Newey, White · pp. 107–147
Introduces normalized principal components (NPCs) as a superior alternative to standard PC methods for reducing many-instrument sets in IV estimation. Shows through simulation that standard PC techniques produce poor small-sample properties of IV estimators, while NPC methods restore favourable properties. Applies NPC to the Angrist–Krueger (1992) schooling returns setting.
Teaching notes · University of Manchester · ECON20110 / ECON61001
Linear Models in Econometrics
Nicky Grant · Department of Economics, University of Manchester
Publicly available lecture notes covering the linear model at introductory postgraduate level, the zero conditional mean assumption, OLS consistency and asymptotic normality, written as preparatory material for the ECON61001 course and available via the University of Manchester's media server.
Magazine article · Aenorm (VSAE, University of Amsterdam)
Mailshot Advertising: An Econometric Analysis
Nicky Grant · Aenorm, the magazine of the Study Association for Actuarial Science, Econometrics & Operational Research (VSAE), University of Amsterdam
An econometric analysis of mailshot advertising published in Aenorm, the leading scientific magazine of the VSAE (University of Amsterdam's student association for econometrics, actuarial science and operational research). The Aenorm is widely read among Dutch and international econometricians and actuaries.
Conference & seminar presentations
Econometric Theory Conference Presentations
Nicky L. Grant
Research presented at academic seminars and conferences in econometric theory, including at the University of Cambridge Faculty of Economics, the University of Manchester, the University of St Andrews, and CeMMAP. Presentations included work on identification-robust inference with singular moment variance, GEL-based inference with moment inequality restrictions, and normalized principal components for weak instrument problems.
Presentations at Cambridge, Manchester, St Andrews, CeMMAP
Working paper · University of Manchester
Identification Robust Inference with Singular Variance
Nicky Grant · Economics Discussion Paper EDP-1315
School of Social Sciences, University of Manchester, September 2013
Studies identification robust inference when moment variance is singular at the true parameter θ₀. Derives conditions for the GAR (Generalised Anderson-Rubin) statistic to have a chi-squared limit distribution using second-order asymptotic eigensystem expansions. Identifies the "moment-singularity bias." Precursor to the CeMMAP working papers co-authored with Professor Richard J. Smith.
International conference presentations
Research Presentations at International Econometrics Conferences
Nicky L. Grant
Research presented at: EEA-ESEM Geneva 2016 (European Economic Association / Econometric Society joint annual congress); IAAE 2016 (International Association for Applied Econometrics, Milan); RJS65 Conference in honour of Professor Richard J. Smith, Cambridge Faculty of Economics. Seminars at Universitat Pompeu Fabra (UPF) Barcelona, 2013. Topics: identification-robust inference with singular moment variance, GEL-based inference with moment inequality restrictions, and weak instrument problems in IV estimation.