Arbeitspapier
Estimating a class of triangular simultaneous equations models without exclusion restrictions
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.
- Language
-
Englisch
- Bibliographic citation
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Series: IZA Discussion Papers ; No. 2378
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
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Klein, Roger
Vella, Francis
- Event
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Veröffentlichung
- (who)
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Institute for the Study of Labor (IZA)
- (where)
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Bonn
- (when)
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2006
- Handle
- URN
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urn:nbn:de:101:1-20090406196
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Klein, Roger
- Vella, Francis
- Institute for the Study of Labor (IZA)
Time of origin
- 2006
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An economic analysis of exclusion restrictions for instrumental variable estimation
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Testing exclusion restrictions at infinity in the semiparametric selection model
Sample selection models without exclusion restrictions: Parameter heterogeneity and partial identification
A parametric control function approach to estimating the returns to schooling in the absence of exclusion restrictions: an application to the nlsy
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