Instrument-free inference under confined regressor endogeneity and mild regularity

Jan Kiviet

Econometrics and Statistics, 2023, vol. 25, issue C, 1-22

Abstract: The instrument-free approach adopts flexible bounds on the correlation between regressors and disturbances, instead of exploiting instruments presupposing their asymptotic uncorrelatedness with the model errors. Earlier findings on such instrument-free inference methods assumed the observations to be mesokurtic and independent and identically distributed. Adopting substantially weaker regularity, this alternative to Two-Stage Least-Squares (TSLS) is developed and simulated for general linear regression models, permitting time-dependent regressors with heterogeneous excess kurtosis. Replicating three prominent empirical studies TSLS is shown to be based on untenable exclusion restrictions, whereas instrument-free inference can arguably be more credible, while potentially producing narrower confidence intervals than (weak-instrument robust) TSLS.

Keywords: endogeneity robust inference; exclusion restrictions test; replication studies; sensitivity analysis (search for similar items in EconPapers)
JEL-codes: C12 C13 C21 C22 C26 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:25:y:2023:i:c:p:1-22

DOI: 10.1016/j.ecosta.2021.12.008

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