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Control variables, discrete instruments, and identification of structural functions

Newey, Whitney K.; Stouli, Sami - 2018

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...

Persistent link: https://www.econbiz.de/10011901534

Partial independence in nonseparable models

Masten, Matthew A.; Poirier, Alexandre - 2016

We analyze identification of nonseparable models under three kinds of exogeneity assumptions weaker than full …

Persistent link: https://www.econbiz.de/10011488374

Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix

Grant, Nicky L.; Smith, Richard J. - 2019 - This Draft: January 2019

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...

Persistent link: https://www.econbiz.de/10011962418

Exact computation of GMM estimators for instrumental variable quantile regression models

Chen, Le-yu; Lee, Sokbae - 2017

We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed integer quadratic programming problem. This enables exact computation of the GMM estimators for the IVQR models. We...

Persistent link: https://www.econbiz.de/10011775368

Identification in dynamic binary choice models

Chamberlain, Gary - 2023

This paper studies identification in a binary choice panel data model with choice probabilities depending on a lagged … of data identification is not possible (in a neighborhood of zero), even in the logistic case. …

Persistent link: https://www.econbiz.de/10014316748

Quantile models with endogeneity

Chernozhukov, Victor; Hansen, Christian Bailey - 2013

the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We … update the identification results of Chernozhukov and Hansen (2005). We illustrate the modelling assumptions through …

Persistent link: https://www.econbiz.de/10009747939

On the testability of identification in some nonparametric models with endogeneity

Canay, Ivan A.; Santos, Andres; Shaikh, Azeem M. - 2012

This paper examines three distinct hypothesis testing problems that arise in the context of identification of some … identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically … identification directly in some nonparametric models with endogeneity involving quantile independence restrictions. For each of these …

Persistent link: https://www.econbiz.de/10009567825

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...

Persistent link: https://www.econbiz.de/10011300710

Simple estimation of semiparametric models with measurement errors

Evdokimov, Kirill S.; Zeleneev, Andrei - 2025 - This version: November 28, 2024

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...

Persistent link: https://www.econbiz.de/10015178608

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10009620338