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Instrumental Variable Models for Discrete Outcomes


  • Andrew Chesher


Single equation instrumental variable models for discrete outcomes are shown to be set identifying, not point identifying, for the structural functions that deliver the values of the discrete outcome. Bounds on identified sets are derived for a general nonparametric model and sharp set identification is demonstrated in the binary outcome case. Point identification is typically not achieved by imposing parametric restrictions. The extent of an identified set varies with the strength and support of instruments, and typically shrinks as the support of a discrete outcome grows. The paper extends the analysis of structural quantile functions with endogenous arguments to cases in which there are discrete outcomes. Copyright 2010 The Econometric Society.

Suggested Citation

  • Andrew Chesher, 2010. "Instrumental Variable Models for Discrete Outcomes," Econometrica, Econometric Society, vol. 78(2), pages 575-601, March.
  • Handle: RePEc:ecm:emetrp:v:78:y:2010:i:2:p:575-601

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    References listed on IDEAS

    1. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, September.
    2. Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013. "Intersection Bounds: Estimation and Inference," Econometrica, Econometric Society, vol. 81(2), pages 667-737, March.
    3. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects, and Econometric Policy Evaluation," Econometrica, Econometric Society, vol. 73(3), pages 669-738, May.
    4. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, January.
    5. John Mullahy, 1997. "Instrumental-Variable Estimation Of Count Data Models: Applications To Models Of Cigarette Smoking Behavior," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 586-593, November.
    6. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, March.
    7. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December.
    8. Andrew Chesher, 2005. "Nonparametric Identification under Discrete Variation," Econometrica, Econometric Society, vol. 73(5), pages 1525-1550, September.
    9. Moon, Hyungsik Roger & Schorfheide, Frank, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.
    10. Chernozhukov, Victor & Imbens, Guido W. & Newey, Whitney K., 2007. "Instrumental variable estimation of nonseparable models," Journal of Econometrics, Elsevier, vol. 139(1), pages 4-14, July.
    11. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    12. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 147-165.
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