Identification of sensitivity to variation in endogenous variables

Andrew Chesher

No 353, Econometric Society 2004 Australasian Meetings from Econometric Society

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. Eventually a just-identifying, non-falsifiable model permitting nonseparablity of latent variates 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

Keywords: Identification; nonparametric methods; nonseparable models; quantile regression; endogeneity; discrete endogenous variables (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2004-08-11
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Related works:
Working Paper: Identification of sensitivity to variation in endogenous variables (2004)
Working Paper: Identification of sensitivity to variation in endogenous variables (2004)
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