Frugal IV alternatives to identify the parameter for an endogenous regressor

Journal of Applied Econometrics - Tập 24 Số 3 - Trang 446-468 - 2009
Peter Ebbes1, Michel Wedel2, Ulf Böckenholt3
1Smeal College of Business, Pennsylvania State University, University Park, PA, USA
2Robert H. Smith School of Business, University of Maryland, College Park, MD, USA
3Faculty of Management, McGill University, Montreal, Quebec, Canada

Tóm tắt

AbstractA review of the econometric literature on instrumental variables (IV) estimation shows that the performance of traditional IV estimation relies critically on the quality of the instruments. We discuss three different approaches that do not require the availability of observed instrumental variables: the ‘Higher Moments’ (HM) estimator, the ‘Identification trough Heteroscedasticity’ (IH) estimator, and the ‘Latent Instrumental Variable’ (LIV) approach. These methods attempt to identify the regression parameters not through observed instruments but by using other information that enables identifiability. The performance of these methods is illustrated on simulated and empirical data. Copyright © 2009 John Wiley & Sons, Ltd.

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Thông tin
Thông tin xuất bản

Journal of Applied Econometrics

Tập 24 Số 3

446-468

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