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Generalized Instrumental Variable Models, Methods, and Applications

Chesher, A; Rosen, AM; (2020) Generalized Instrumental Variable Models, Methods, and Applications. In: Durlauf, S and Hansen, L and Heckman, J and Matzkin, R, (eds.) Handbook of Econometrics, Volume 7A. Elsevier (In press). Green open access

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Abstract

This chapter sets out the extension of the scope of the classical IV model to cases in which unobserved variables are set-valued functions of observed variables. The resulting Generalized IV (GIV) models can be used when outcomes are discrete while unobserved variables are continuous, when there are rich specifications of heterogeneity as in random coe¢ cient models, and when there are inequality restrictions constraining observed outcomes and unobserved variables. There are many other applications and classical IV models arise as a special case. The chapter provides characterizations of the identified sets delivered by GIV models. It gives details of the application of GIV analysis to models with an interval censored endogenous variable and to binary outcome models - for example probit models - with endogenous explanatory variables. It illustrates how the identified sets delivered by GIV models can be represented by moment inequality characterizations that have been the focus of recently developed methods for inference. An empirical application to a binary outcome model of female labor force participation is worked through in detail.

Type: Book chapter
Title: Generalized Instrumental Variable Models, Methods, and Applications
ISBN-13: 9780444636492
Open access status: An open access version is available from UCL Discovery
Publisher version: https://www.elsevier.com/books/handbook-of-econome...
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10080594
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