Identification of sensitivity to variation in endogenous variables

Andrew Chesher

No 10/04, CeMMAP working papers from Institute for Fiscal Studies

Abstract: This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation in a variable which is endogenous when data are gathered. The starting point is the Cowles Commission linear simultaneous equations model. The parametric and additive error restrictions of that model are successively relaxed and modifications to covariation,order and rank conditions that maintain identifiability are presented. Eventuallya just-identifying, non-falsifiable model permitting nonseparablity of latent vari-ates and devoid of parametric restrictions is obtained. The model requires the endogenous variable to be continuously distributed. It is shown that relaxing this restriction results in loss of point identification but set identification is possible if an additional covariation restriction is introduced. Relaxing other restrictions presents significant challenges.The A.W.H. Phillips Lecture, presented at the Australasian Meetings of the Econometric Society, July 7th 2004.

Date: 2004-07-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP1004.pdf (application/pdf)

Related works:
Working Paper: Identification of sensitivity to variation in endogenous variables (2004)
Working Paper: Identification of sensitivity to variation in endogenous variables (2004)
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:azt:cemmap:10/04

DOI: 10.1920/wp.cem.2004.1004

Access Statistics for this paper

More papers in CeMMAP working papers from Institute for Fiscal Studies Contact information at EDIRC.
Bibliographic data for series maintained by Dermot Watson ().