In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

We derive the empirical content of an instrumental variables model of sectorial choice with binary outcomes. Assumptions on selection include the simple, extended and generalized Roy models. The derived bounds are nonparametric intersection bounds and are simple enough to lend themselves to...

We derive the empirical content of an instrumental variables model of sectoral choice with discrete outcomes. The partial identification results extend existing work on sharp bounds in binary choice threshold crossing models in allowing sector specific unobserved heterogeneity. Assumptions on...

In this paper we study nonparametric estimation in a binary treatment model where the outcome equation is of unrestricted form, and the selection equation contains multiple unobservables that enter through a nonparametric random coefficients specification. This specification is flexible because...

The moment conditions or estimating equations for instrumental variables quantile regression involves the discontinuous indicator function. We instead use smoothed estimating equations, with bandwidth h. This is known to allow higher-order expansions that justify bootstrap refinements for...

This paper proposes bootstrap tests for the validity of instrumental variables (IV) in just identified treatment effect models with endogeneity. We demonstrate that the IV assumptions required for the identification of the local average treatment effect (LATE) allow us to both point identify and...

This papers proposes a simple method for testing whether non-compliance in experiments is ignorable, i.e., not jointly related to the treatment and the outcome. The approach consists of (i) regressing the outcome variable on a constant, the treatment, the assignment indicator, and the...

This paper proposes a simple method for testing whether non-compliance in experiments is ignorable, i.e., not jointly related to the treatment and the outcome. The approach consists of (i) regressing the outcome variable on a constant, the treatment, the assignment indicator, and the...

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in...