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Consistently bounding parameter values with one instrument and two endogenous explanatory variables

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  • Richard A Dunn

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    (Texas A&M University)

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    Abstract

    The current paper considers a linear regression framework with two endogenous regressors, but only one instrument that is correlated with both. I demonstrate that under reasonable conditions, some of which are testable from the data, these different sources of endogeneity act in opposing directions and hence IV regression can generate economically meaningful bounds.

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I2-P101.pdf
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    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 32 (2012)
    Issue (Month): 2 ()
    Pages: 1074-1081

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    Handle: RePEc:ebl:ecbull:eb-11-00833

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    Related research

    Keywords: endogeneity; instrumental variables; bounding; under-identification;

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    1. Charles F. Manski & John V. Pepper, 1998. "Monotone Instrumental Variables: With an Application to the Returns to Schooling," Virginia Economics Online Papers 308, University of Virginia, Department of Economics.
    2. Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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