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IV models of ordered choice

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  • Chesher, Andrew
  • Smolinski, Konrad

Abstract

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying for parametrically (e.g. ordered probit) or nonparametrically specified structural functions. The paper gives results on the properties of the identified set for the case in which potentially endogenous explanatory variables are discrete. The results are used as the basis for calculations showing the rate of shrinkage of identified sets as the number of classes in which the outcome is categorised increases.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 166 (2012)
Issue (Month): 1 ()
Pages: 33-48

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Handle: RePEc:eee:econom:v:166:y:2012:i:1:p:33-48

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

Related research

Keywords: Endogeneity; Incomplete models; Instrumental variables; Ordered choice; Ordered probit; Set identification; Threshold crossing models;

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References

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  1. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
  3. Andrew Chesher, 2003. "Nonparametric identification under discrete variation," CeMMAP working papers CWP19/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. 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.
  5. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
  6. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July.
  7. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-85, May.
  8. Richard W. Blundell & James L. Powell, 2004. "Endogeneity in Semiparametric Binary Response Models," Review of Economic Studies, Wiley Blackwell, vol. 71, pages 655-679, 07.
  9. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
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Citations

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Cited by:
  1. Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
  2. Andrew Chesher & Konrad Smolinski, 2010. "Sharp identified sets for discrete variable IV models," CeMMAP working papers CWP11/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Chesher, Andrew, 2013. "Semiparametric Structural Models Of Binary Response: Shape Restrictions And Partial Identification," Econometric Theory, Cambridge University Press, vol. 29(02), pages 231-266, April.
  4. Cameron McIntosh, 2014. "The presence of an error term does not preclude causal inference in regression: a comment on Krause (2012)," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(1), pages 243-250, January.

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