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Identification of sensitivity to variation in endogenous variables

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  • Andrew Chesher

    (Institute for Fiscal Studies and University College London)

Abstract

This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation in a variable which is endogenous when data are gathered. The starting point is the Cowles Commission linear simultaneous equations model. The parametric and additive error restrictions of that model are successively relaxed and modifications to covariation,order and rank conditions that maintain identifiability are presented. Eventually a just-identifying, non-falsifiable model permitting nonseparablity of latent vari-ates and devoid of parametric restrictions is obtained. The model requires the endogenous variable to be continuously distributed. It is shown that relaxing this restriction results in loss of point identification but set identification is possible if an additional covariation restriction is introduced. Relaxing other restrictions presents significant challenges. The A.W.H. Phillips Lecture, presented at the Australasian Meetings of the Econometric Society, July 7th 2004.

Suggested Citation

  • Andrew Chesher, 2004. "Identification of sensitivity to variation in endogenous variables," CeMMAP working papers CWP10/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:10/04
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    File URL: http://cemmap.ifs.org.uk/wps/cwp102004.pdf
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    References listed on IDEAS

    as
    1. Andrew Chesher, 2002. "Semiparametric identification in duration models," CeMMAP working papers CWP20/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-447, March.
    3. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521818728, January.
    4. Lee, Sokbae, 2007. "Endogeneity in quantile regression models: A control function approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1131-1158, December.
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    6. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    7. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521524131, January.
    8. Andrew Chesher, 2005. "Nonparametric Identification under Discrete Variation," Econometrica, Econometric Society, vol. 73(5), pages 1525-1550, September.
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    13. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521524117, January.
    14. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, September.
    15. Chesher, Andrew, 2007. "Instrumental values," Journal of Econometrics, Elsevier, vol. 139(1), pages 15-34, July.
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    20. Mathias Dewatripont & Lars Peter Hansen & Stephen Turnovsky, 2003. "Advances in economics and econometrics :theory and applications," ULB Institutional Repository 2013/9557, ULB -- Universite Libre de Bruxelles.
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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