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Type: Journal Articles Authors: Klein, Roger and Vella, Francis
Published in: Journal of Econometrics
Volume, issue, pages: Vol.154, No. 2, pp. 154-164
Previous version: cemmap Working Papers [Details]
This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well.
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