Inference for Linear Conditional Moment Inequalities
In: NBER Working Paper No. w26374
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In: NBER Working Paper No. w26374
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In: Uzbek Mathematical Journal, Band 2018, Heft 4, S. 101-111
In: NBER Working Paper No. w29409
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In: University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-116
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In: NBER Working Paper No. w21893
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In: Journal of Monetary Economics, Band 110, S. 50-61
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In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 66, Heft 2, S. 161-182
ISSN: 1467-9574
The main approach to deal with regressor endogeneity is instrumental variable estimator (IVE), where an instrumental variable (IV) m is required to be uncorrelated to the regression model error term u (COR(m,u)=0) and correlated to the endogenous regressor. If COR(m,u)≠0 is likely, then m gets discarded. But even when COR(m,u)≠0, often one has a good idea on the sign of COR(m,u). This article shows how to make use of the sign information on COR(m,u) to obtain an one‐sided bound on the endogenous regressor coefficient, calling m a 'generalized instrument' or 'generalized instrumental variable (GIV)'. If there are two GIV's m1 and m2, then a two‐sided bound or an improved one‐sided bound can be obtained. Our approach is simple, needing only IVE; no non‐parametrics, nor any 'tuning constants'. Specifically, the usual IVE is carried out, and the only necessary modification is that the estimate for the endogenous regressor coefficient is interpreted as a lower/upper bound depending on the prior notion on the sign of COR(m,u) and some estimable moment. A real data application is done to Korean household data with two or more children to illustrate our approach for the issue of child quantity–quality trade‐off.
In: NBER Working Paper No. w31040
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In: Statistical papers, Band 58, Heft 3, S. 911-928
ISSN: 1613-9798
In: Journal of Econometrics, Band 146, Heft 1, S. 107-
In: NBER Working Paper No. w19916
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In: Yale University Economic Growth Center Discussion Paper No. 1022
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