Frugal IV alternatives to identify the parameter for an endogenous regressor

Peter Ebbes*, Michel Wedel, Ulf Böckenholt

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

35 Scopus citations

Abstract

A review of the econometric literature on instrumental variables (IV) estimation shows that the performance of traditional IV estimation relies critically on the quality of the instruments. We discuss three different approaches that do not require the availability of observed instrumental variables: the 'Higher Moments' (HM) estimator, the 'Identification trough Heteroscedasticity' (IH) estimator, and the 'Latent Instrumental Variable' (LIV) approach. These methods attempt to identify the regression parameters not through observed instruments but by using other information that enables identifiability. The performance of these methods is illustrated on simulated and empirical data.

Original languageEnglish (US)
Pages (from-to)446-468
Number of pages23
JournalJournal of Applied Econometrics
Volume24
Issue number3
DOIs
StatePublished - Apr 2009

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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