Estimating a Class of Triangular Simultaneous Equations Models Without Exclusion Restrictions

Roger Klein () and Francis Vella

No 2378, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well.

Keywords: heteroskedasticity; control function; endogeneity (search for similar items in EconPapers)
JEL-codes: C14 C30 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2006-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

Published - published in: Journal of Econometrics, 2010, 154 (2), 154-164

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Related works:
Journal Article: Estimating a class of triangular simultaneous equations models without exclusion restrictions (2010)
Working Paper: Estimating a class of triangular simultaneous equations models without exclusion restrictions (2005)
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