Estimating a class of triangular simultaneous equations models without exclusion restrictions

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 154
Issue: 2
Pages: 154-164

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well.

Technical Details

RePEc Handle
repec:eee:econom:v:154:y:2010:i:2:p:154-164
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25