Estimating a class of triangular simultaneous equations models without exclusion restrictions

Roger Klein, Francis Vella

Research output: Contribution to journalArticlepeer-review

66 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)154-164
Number of pages11
JournalJournal of Econometrics
Volume154
Issue number2
DOIs
StatePublished - Feb 2010

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • Heteroscedasticity
  • Identification
  • Triangular semiparametric models

Fingerprint

Dive into the research topics of 'Estimating a class of triangular simultaneous equations models without exclusion restrictions'. Together they form a unique fingerprint.

Cite this