A Distance Covariance-based Estimator

Emmanuel Selorm Tsyawo and Abdul-Nasah Soale

Papers from arXiv.org

Abstract: This paper proposes an estimator that relaxes the conventional relevance condition in instrumental variable (IV) analyses. The method allows endogenous covariates to be weakly correlated, uncorrelated, or even mean-independent -- though not independent -- of the instruments, enabling the use of the maximal set of relevant instruments in a given application. Identification is attainable without exclusion restrictions and without finite-moment assumptions on the disturbance term. Under either of two non-nested exogeneity conditions, combined with mild regularity conditions, the parameter of interest is identified. The estimator is shown to be consistent and asymptotically normal, and the relaxed relevance condition required for identification is testable.

Date: 2021-02, Revised 2025-11
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2102.07008 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2102.07008

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().