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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 2378
Klassifikation
Wirtschaft
Ereignis
Geistige Schöpfung
(wer)
Klein, Roger
Vella, Francis
Vella, Francis
Ereignis
Veröffentlichung
(wer)
Institute for the Study of Labor (IZA)
(wo)
Bonn
(wann)
2006
- Handle
- URN
-
urn:nbn:de:101:1-20090406196
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klein, Roger
- Vella, Francis
- Institute for the Study of Labor (IZA)
Entstanden
- 2006
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