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

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  • Richard A Dunn

    () (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. Aviv Nevo & Adam M. Rosen, 2008. "Identification with Imperfect Instruments," NBER Working Papers 14434, National Bureau of Economic Research, Inc.
    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. Charles F. Manski & John V. Pepper, 2000. "Monotone Instrumental Variables, with an Application to the Returns to Schooling," Econometrica, Econometric Society, vol. 68(4), pages 997-1012, July.
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