Join Rui Wang for this event which is part of the Econometrics Research Seminar Series, Summer Term 2023
16:00 - 17:30
Zoom
Rui Wang
Lectures, talks and seminars
Econometrics Research Seminar Series
Economics, Department of
Join Rui Wang as they present their research on Endogenous linear regressions with included instrumental variables.
Rui Wang from Ohio State University will present their research on Endogenous linear regressions with included instrumental variables.
We show that endogenous linear regression models can be identified without excluded instrumental variables, based on the standard mean independence condition and a no-multicollinearity condition on the conditional expectations of endogenous covariates given the included exogenous covariates. Based on the identification results, we propose two semiparametric estimators as well as a discretization-based estimator that does not require any nonparametric regressions. We establish their asymptotic normality, provide corresponding variance estimators, and demonstrate via simulations the good finite-sample performances of our proposed estimation and inference procedures. In particular, we find that the discretization-based estimator performs remarkably well in finite samples, while being very simple and fast to compute.
This seminar will be held online via zoom. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.
This event is part of the Econometrics Research Seminar Series.