Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 208
Issue: 2
Pages: 346-366

Authors (3)

Huang, Liquan (not in RePEc) Khalil, Umair (Deakin University) Yıldız, Neşe (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop a novel identification method for a partially linear model with multiple endogenous variables of interest but a single instrumental variable, which could even be binary. We present an easy-to-implement consistent estimator for the parametric part. This estimator retains n-convergence rate and asymptotic normality even though we have a generated regressor in our setup. The nonparametric part of the model is also identified. We also outline how our identification strategy can be extended to a fully non-parametric model. Finally, we use our methods to assess the impact of smoking during pregnancy on birth weight.

Technical Details

RePEc Handle
repec:eee:econom:v:208:y:2019:i:2:p:346-366
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25