Control variables, discrete instruments, and identification of structural functions

Whitney Newey; Sami Stouli

doi:10.1016/j.jeconom.2020.07.027

Control variables, discrete instruments, and identification of structural functions

Whitney Newey^*, Sami Stouli^*

^*Corresponding author for this work

School of Economics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

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Abstract

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identification results under a variety of restrictions on the way the endogenous variable and the control variables affect the outcome. We consider many structural objects of interest, such as average or quantile treatment effects. We illustrate our results with an empirical application to Engel curve estimation.

Original language	English
Pages (from-to)	1-16
Number of pages	16
Journal	Journal of Econometrics
Volume	(2020)
Issue number	0
Early online date	8 Sep 2020
DOIs	https://doi.org/10.1016/j.jeconom.2020.07.027
Publication status	E-pub ahead of print - 8 Sep 2020

Structured keywords

ECON Econometrics
ECON CEPS Data

Keywords

Control variables
discrete instruments
structural functions
endogeneity
partially nonparametric
nonseparable models
identification
treatment effects

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10.1016/j.jeconom.2020.07.027

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Dr Sami Stouli
- s.stouli@bristol.ac.uk
- School of Economics - Senior Lecturer in Economics
Person: Academic

Cite this

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AB - Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identification results under a variety of restrictions on the way the endogenous variable and the control variables affect the outcome. We consider many structural objects of interest, such as average or quantile treatment effects. We illustrate our results with an empirical application to Engel curve estimation.

KW - Control variables

KW - discrete instruments

KW - structural functions

KW - endogeneity

KW - partially nonparametric

KW - nonseparable models

KW - identification

KW - treatment effects

U2 - 10.1016/j.jeconom.2020.07.027

DO - 10.1016/j.jeconom.2020.07.027

M3 - Article (Academic Journal)

VL - (2020)

SP - 1

EP - 16

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 0

ER -

Control variables, discrete instruments, and identification of structural functions

Abstract

Structured keywords

Keywords

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Dr Sami Stouli

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