Using Heteroskedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models
AbstractThis paper proposes a new method of obtaining identification in mismeasured regressor models, triangular systems, and simultaneous equation systems. The method may be used in applications where other sources of identification such as instrumental variables or repeated measurements are not available. Associated estimators take the form of two stage least squares or generalized method of moments. Identification comes from a heteroskedastic covariance restriction that is shown to be a feature of many models of endogeneity or mismeasurement. Identification is also obtained for semiparametric partly linear models, and associated estimators are provided. Set identification bounds are derived for cases where point identifying assumptions fail to hold. An empirical application estimating Engel curves is provided.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 587.
Date of creation: 19 Dec 2003
Date of revision: 15 Dec 2010
Publication status: published, Journal of Business and Economic Statistics, 2012, 30, 67-80
Note: Previously circulated as "Identification of Heteroskedastic Endogenous or Mismeasured Regressor Models."
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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simultaneous; endogenous; identification; heteroscedasticity; measurement error; partly linear models;
Other versions of this item:
- Arthur Lewbel, 2010. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80, December.
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
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