On the equivalence of instrumental variables estimators for linear models

Antonio Galvao and Gabriel Montes-Rojas (gabriel.montes@fce.uba.ar)

Economics Letters, 2015, vol. 134, issue C, 13-15

Abstract: This note shows the equivalence of different instrumental variables estimators to solve the endogeneity problem in linear models when valid instruments are available. We demonstrate that the exclusion restriction estimator proposed by Chernozhukov and Hansen (2006) is equivalent to the two-stage least squares and the control function estimators for linear models.

Keywords: Instrumental variables; Least-squares; Control function; Quantile regression (search for similar items in EconPapers)
JEL-codes: C14 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:13-15

DOI: 10.1016/j.econlet.2015.06.001

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