On the equivalence of instrumental variables estimators for linear models

被引：2
|
作者：
Galvao, Antonio F. [1 ]
Montes-Rojas, Gabriel [2 ]
机构：
[1] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA
[2] Univ San Andres, CONICET, Buenos Aires, DF, Argentina
来源：
ECONOMICS LETTERS | 2015年 / 134卷
关键词：
Instrumental variables; Least-squares; Control function; Quantile regression; ABSOLUTE DEVIATIONS ESTIMATORS; QUANTILE REGRESSION; IDENTIFICATION; INFERENCE;
D O I：
10.1016/j.econlet.2015.06.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This note shows the equivalence of different instrumental variables estimators to solve the endogeneity problem in linear models when valid instruments are available. We demonstrate that the exclusion restriction estimator proposed by Chernozhukov and Hansen (2006) is equivalent to the two-stage least squares and the control function estimators for linear models. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：13 / 15
页数：3
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