Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables
Umair Khalil () and
Journal of Econometrics, 2019, vol. 208, issue 2, 346-366
We develop a novel identification method for a partially linear model with multiple endogenous variables of interest but a single instrumental variable, which could even be binary. We present an easy-to-implement consistent estimator for the parametric part. This estimator retains n-convergence rate and asymptotic normality even though we have a generated regressor in our setup. The nonparametric part of the model is also identified. We also outline how our identification strategy can be extended to a fully non-parametric model. Finally, we use our methods to assess the impact of smoking during pregnancy on birth weight.
Keywords: Identification; Multiple endogenous variables; Control function approach (search for similar items in EconPapers)
JEL-codes: C13 C14 C31 C36 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:208:y:2019:i:2:p:346-366
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