This paper considers the formulation and estimation of simultaneous equation models with both discrete and continuous endogenous variables. The statistical model proposed here is sufficiently rich to encompass the classical simultaneous equation model for continuous endogenous variables and more...

This paper considers the formulation and estimation of simultaneous equation models with both discrete and continuous endogenous variables. The statistical model proposed here is sufficiently rich to encompass the classical simultaneous equation model for continuous endogenous variables and more...

This paper considers the identification and estimation of hedonic models. We establish that in an additive version of the hedonic model, technology and preferences are generically identified up to affine transformations from data on demand and supply in a single hedonic market. For a very...

Numerous studies regress log earnings on schooling and report estimated coefficients as "Mincer rates of return". A more recent literature uses instrumental variables. This chapter considers the economic interpretation of these analyses and how the availability of repeated cross section and...

We consider a spatial econometric model containing a spatial lag in the dependent variable and the disturbance term with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for spatial autoregressive models is generally inconsistent...

Numerous studies regress log earnings on schooling and report estimated coefficients as Mincer rates of return. A more recent literature uses instrumental variables. This chapter considers the economic interpretation of these analyses and how the availability of repeated cross section and panel...

We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the...

Many empirical studies specify outcomes as a linear function of endogenous regressors when conducting instrumental variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are biased if the true relationship is non-linear. These...

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...

We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the...