Estimating a class of triangular simultaneous equations models without exclusion restrictions

Roger Klein () and Francis Vella

No CWP08/05, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well.

Pages: 41 pp.
Date: 2005-07-15
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http://cemmap.ifs.org.uk/wps/cwp0805.pdf (application/pdf)

Related works:
Journal Article: Estimating a class of triangular simultaneous equations models without exclusion restrictions (2010)
Working Paper: Estimating a Class of Triangular Simultaneous Equations Models Without Exclusion Restrictions (2006)
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