Viewpoint: An extended class of instrumental variables for the estimation of causal effects

Karim Chalak () and Halbert White

Canadian Journal of Economics/Revue canadienne d'économique, 2011, vol. 44, issue 1, 1-51

Abstract: Abstract We examine how structural systems can yield observed variables instrumental in identifying and estimating causal effects. We provide an exhaustive characterization of potentially identifying conditional exogeneity relationships and demonstrate how structural relations determine exogeneity and exclusion restrictions that yield moment conditions supporting identification. This provides a comprehensive framework for constructing instruments and covariates. We introduce notions of conditioning and conditional extended instrumental variables (XIVs). These permit identification but need not be traditional instruments, as they may be endogenous. We distinguish between observed XIVs and proxies for unobserved XIVs. A main message is the importance of sufficiently specifying causal relations governing the unobservables. Les auteurs examinent comment des systèmes structurels peuvent engendrer des variables observées instrumentales dans l'identification et l'estimation d'effets de causalité. On fournit une caractérisation exhaustive des relations d'exogénéité conditionnelle potentiellement porteuses d'identification, et on démontre comment des relations structurelles déterminent les restrictions d'exogénéité et d'exclusion qui engendrent les conditions de moment qui supportent l'identification. Cela fournit un cadre compréhensif pour construire instruments et covariables. On introduit des notions de variables instrumentales étendues conditionnantes et conditionnelles (XIVs). Celles‐ci permettent l'identification, mais n'ont pas àêtre des instruments traditionnels, parce qu'elles peuvent être endogènes. On distingue entre les XIVs observées et les variables concomitantes avec les XIVs non‐observées. Un message central est l'importance de suffisamment spécifier les relations causales qui gouvernent les non‐observables.

Date: 2011
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Citations: View citations in EconPapers (10)

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https://doi.org/10.1111/j.1540-5982.2010.01622.x

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Journal Article: Viewpoint: An extended class of instrumental variables for the estimation of causal effects (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:canjec:v:44:y:2011:i:1:p:1-51

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