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Une classe étendue de variables instrumentales pour l'estimation des effets de causalité .
Author(s) -
Chalak Karim,
White Halbert
Publication year - 2011
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2010.01622.x
Subject(s) - endogeneity , instrumental variable , econometrics , identification (biology) , covariate , class (philosophy) , estimation , causal model , contrast (vision) , causality (physics) , mathematics , economics , statistics , computer science , artificial intelligence , botany , physics , management , quantum mechanics , biology
We examine how structural systems can yield observed variables instrumental in identifying and estimating causal effects. We provide an exhaustive characterization of potentially identifying conditional exogeneity relationships and demonstrate how structural relations determine exogeneity and exclusion restrictions that yield moment conditions supporting identification. This provides a comprehensive framework for constructing instruments and covariates. We introduce notions of conditioning and conditional extended instrumental variables (XIVs). These permit identification but need not be traditional instruments, as they may be endogenous. We distinguish between observed XIVs and proxies for unobserved XIVs. A main message is the importance of sufficiently specifying causal relations governing the unobservables.