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Endogeneity bias modeling using observables

Author

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  • Galvao, Antonio F.
  • Montes-Rojas, Gabriel
  • Song, Suyong

Abstract

This paper proposes an alternative solution to the endogeneity problem by explicitly modeling the joint interaction of the endogenous variables and the unobserved causes of the dependent variable as a function of additional observables. We derive identification of the parameters, develop an estimator, and establish its consistency and asymptotic normality.

Suggested Citation

  • Galvao, Antonio F. & Montes-Rojas, Gabriel & Song, Suyong, 2017. "Endogeneity bias modeling using observables," Economics Letters, Elsevier, vol. 152(C), pages 41-45.
    • Handle: RePEc:eee:ecolet:v:152:y:2017:i:c:p:41-45
    DOI: 10.1016/j.econlet.2016.12.021
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    References listed on IDEAS

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    Cited by:

    1. Hoedoafia, Mabel Akosua, 2020. "On the Link between Trade Liberalization and Firm Productivity: Panel Data Evidence from Private Firms in Ghana," MPRA Paper 99568, University Library of Munich, Germany.
    2. Antonio F. Galvao & Gabriel Montes–Rojas & Jose Olmo & Suyong Song, 2018. "On solving endogeneity with invalid instruments: an application to investment equations," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 689-716, June.

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    More about this item

    Keywords

    Endogeneity; Instrumental variables; Proxy variables;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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