Identification-robust inference for endogeneity parameters in linear structural models
نویسندگان
چکیده
منابع مشابه
Identification-robust inference for endogeneity parameters in linear structural models
We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity parameters. Such parameters have intrin...
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Institut de Finance Mathematique de Montreal (IFM2), and the Social Sciences and Humanities Research Council of Canada. Kan gratefully acknowledges financial support from the Social Sciences and Humanities Research Council of Canada and the National Bank Financial of Canada. They also thank seminar participants at the Federal Reserve Bank of Atlanta, Singapore Management University, the Univers...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2014
ISSN: 1368-4221
DOI: 10.1111/ectj.12021