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Excess heterogeneity, endogeneity and index restrictions
[journal article]
Abstract A discrete or continuous outcome is determined by a structural function in which the effect of some variables of interest is transmitted through a scalar index. Multiple sources of stochastic variation can appear as arguments of the structural function, but not in the index. There may be endogeneity... view more
A discrete or continuous outcome is determined by a structural function in which the effect of some variables of interest is transmitted through a scalar index. Multiple sources of stochastic variation can appear as arguments of the structural function, but not in the index. There may be endogeneity, that is observable and unobservable variables may not be independently distributed. Conditions are provided under which there is local identification of measures of the relative sensitivity of the index to variations in pairs of its possibly endogenous arguments, namely ratios of partial derivatives of the index.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Free Keywords
C10; C14; C50; C51; Control functions; Endogeneity; Identification; Index restrictions; Nonseparable models
Document language
English
Publication Year
2009
Page/Pages
p. 37-45
Journal
Journal of Econometrics, 152 (2009) 1
DOI
https://doi.org/10.1016/j.jeconom.2009.02.004
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)