Generalized instrumental variable models

Andrew Chesher and Adam Rosen

No 43/13, CeMMAP working papers from Institute for Fiscal Studies

Abstract: The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) models to a wide class of problems in which multiple values of unobservable variables can be associated with particular combinations of observed endogenous and exogenous variables. In our Generalised Instrumental Variable (GIV) models, in contrast to traditional IV models, the mapping from unobserved heterogeneity to endogenous variables need not admit a unique inverse. The class of GIV models allows unobservables to be multivariate and to enter nonseparably into the determination of endogenous variables, thereby removing strong practical limitations on the role of unobserved heterogeneity. Important examples include models with discrete or mixed continuous/discrete outcomes and continuous unobservables, and models with excess heterogeneity where many combinations of different values of multiple unobserved variables, such as random coefficients, can deliver the same realisations of outcomes. We use tools from random set theory to study identification in such models and provide a sharp characterisation of the identified set of structures admitted. We demonstrate the application of our analysis to a continuous outcome model with an interval-censored endogenous explanatory variable.

Date: 2013-08-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP4313.pdf (application/pdf)

Related works:
Journal Article: Generalized Instrumental Variable Models (2017)
Working Paper: Generalized instrumental variable models (2014)
Working Paper: Generalized instrumental variable models (2014)
Working Paper: Generalized instrumental variable models (2013)
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:43/13

DOI: 10.1920/wp.cem.2013.4313

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 ().