On the equivalence of instrumental variables estimators for linear models

Galvao Jr, A. F. & Montes-Rojas, G. (2015). On the equivalence of instrumental variables estimators for linear models. Economics Letters, 134, pp. 13-15. doi: 10.1016/j.econlet.2015.06.001

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Abstract

This note shows the equivalence of different instrumental variables estimators to solve the endogeneity problem in linear models when valid instruments are available. We demonstrate that the exclusion restriction estimator proposed by Chernozhukov and Hansen (2006) is equivalent to the two-stage least squares and the control function estimators for linear models.

Item Type: Article
Additional Information: © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Instrumental variables; Least-squares; Control function; Quantile regression
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/13017

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