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Abstract

We examine how structural systems can yield observed variables instrumental in identifying and estimating causal effects. We provide an exhaustive characterization of potentially identifying conditional exogeneity relationships and demonstrate how structural relations determine exogeneity and exclusion restrictions that yield moment conditions supporting identification. This provides a comprehensive framework for constructing instruments and covariates. We introduce notions of conditioning and conditional extended instrumental variables (XIVs). These permit identification but need not be traditional instruments, as they may be endogenous. We distinguish between observed XIVs and proxies for unobserved XIVs. A main message is the importance of sufficiently specifying causal relations governing the unobservables.

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File URL: http://economics.ca/cgi/xms?jab=v44n1/CJEv44n1p0001.pdf
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Bibliographic Info

Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 44 (2011)
Issue (Month): 1 (February)
Pages: 1-51

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Handle: RePEc:cje:issued:v:44:y:2011:i:1:p:1-51

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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
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Find related papers by JEL classification:

• C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
• C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
• C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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Cited by:

1. Diagne, Aliou & Alia, Didier Y. & Wopereis, Marco C.S. & Saito, Kazuki, 2012. "Impact of Rice Research on Income and Poverty in Africa: An Ex-ante Analysis," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126874, International Association of Agricultural Economists.
2. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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