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Bounding endogenous regressor coefficients using moment inequalities and generalized instruments

Lee, Myoung-Jae; Choi, Jin-young

Description

The main approach to deal with regressor endogeneity is instrumental variable estimator (IVE), where an instrumental variable (IV) m is required to be uncorrelated to the regression model error term u (COR(m,u)=0) and correlated to the endogenous regressor. If COR(m,u)≠0 is likely, then m gets discarded. But even when COR(m,u)≠0, often one has a good idea on the sign of COR(m,u). This article shows how to make use of the sign information on COR(m,u) to obtain an one-sided bound on the...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/31831
Source: Statistica Neelandica
DOI: 10.1111/j.1467-9574.2011.00501.x

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