Identification-robust inference for endogeneity parameters in linear structural models

Firmin Doko Tchatoka and Jean-Marie Dufour ()

No 15064, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: 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 intrinsic interest (because they measure the effect of “common factors” which induce simultaneity) and play a central role in selecting an estimation method (because they determine “simultaneity biases” associated with least-squares methods). We observe that endogeneity parameters may not identifiable and we give the relevant identification conditions. We develop identification-robust finite-sample tests for joint hypotheses involving structural and regression endogeneity parameters, as well as marginal hypotheses on regression endogeneity parameters. For Gaussian errors, we provide tests and confidence sets based on standard-type Fisher critical values. For a wide class of parametric non-Gaussian errors (possibly heavy-tailed), we also show that exact Monte Carlo procedures can be applied using the statistics considered. As a special case, this result also holds for usual AR-type tests on structural coefficients. For covariance endogeneity parameters, we supply an asymptotic (identification-robust) distributional theory. Tests for partial exogeneity hypotheses (for individual potentially endogenous explanatory variables) are covered as instances of the class of proposed procedures. The proposed procedures are applied to two empirical examples: the relation between trade and economic growth, and the widely studied problem of returns to education.

Keywords: Identification-robust confidence sets; endogeneity; AR-type statistic; projection-based techniques; partial exogeneity test. (search for similar items in EconPapers)
JEL-codes: C12 C15 C3 C52 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2012-08-01, Revised 2012-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published by the University of Tasmania. Discussion paper 2012-07

Downloads: (external link)
http://eprints.utas.edu.au/15064/1/2012-07__DP_Doko.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://eprints.utas.edu.au/15064/1/2012-07__DP_Doko.pdf [302 Moved Temporarily]--> https://eprints.utas.edu.au/15064/1/2012-07__DP_Doko.pdf [302 Found]--> https://figshare.utas.edu.au/ndownloader/files/41152661 [302 Found]--> https://s3-ap-southeast-2.amazonaws.com/figshare-production-eu-utas-storage2718-ap-southeast-2/41152661/201207__DP_Doko.pdf?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIARRFKZQ25CRVZALJA/20241218/ap-southeast-2/s3/aws4_request&X-Amz-Date=20241218T121812Z&X-Amz-Expires=10&X-Amz-SignedHeaders=host&X-Amz-Signature=c56b7056c07b5121fd7aa4876877ef465dcd5e060dd68b044ee1b0979e157373)

Related works:
Journal Article: Identification‐robust inference for endogeneity parameters in linear structural models (2014)
Working Paper: Identification-robust inference for endogeneity parameters in linear structural models (2014)
Working Paper: Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models (2014)
Working Paper: Identification-robust inference for endogeneity parameters in linear structural models (2012)
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:tas:wpaper:15064

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().