Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 30, Issue 1, Pages 67-80Publisher
AMER STATISTICAL ASSOC
DOI: 10.1080/07350015.2012.643126
Keywords
Endogeneity; Heteroscedastic errors; Identification; Measurement error; Partly linear model; Simultaneous system
Ask authors/readers for more resources
This article proposes a new method of obtaining identification in mismeasured regressor models, triangular systems, and simultaneous equation systems. The method may be used in applications where other sources of identification, such as instrumental variables or repeated measurements, are not available. Associated estimators take the form of two-stage least squares or generalized method of moments. Identification comes from a heteroscedastic covariance restriction that is shown to be a feature of many models of endogeneity or mismeasurement. Identification is also obtained for semiparametric partly linear models, and associated estimators are provided. Set identification bounds are derived for cases where point-identifying assumptions fail to hold. An empirical application estimating Engel curves is provided.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available