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Excess heterogeneity, endogeneity and index restrictions

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Author Info
Chesher, Andrew

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Abstract

A discrete or continuous outcome is determined by a structural function in which the effect of some variables of interest is transmitted through a scalar index. Multiple sources of stochastic variation can appear as arguments of the structural function, but not in the index. There may be endogeneity, that is observable and unobservable variables may not be independently distributed. Conditions are provided under which there is local identification of measures of the relative sensitivity of the index to variations in pairs of its possibly endogenous arguments, namely ratios of partial derivatives of the index.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4VS40CC-1/2/08999519115e0d495cc54dedd9b100bf
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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 152 (2009)
Issue (Month): 1 (September)
Pages: 37-45
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Handle: RePEc:eee:econom:v:152:y:2009:i:1:p:37-45

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Web page: http://www.elsevier.com/locate/jeconom

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Related research
Keywords: Control functions Endogeneity Identification Index restrictions Nonseparable models;

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