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.
Authors
![Francis Vella](/sites/default/files/styles/square_desktop/public/2022-07/Frank%20Vella_1.jpg?itok=f9f9VWFz)
Research Associate Georgetown University
Francis Vella is a Research Associate of the IFS and a Professor and the Edmund Villani Chair in Economics at Georgetown University.
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Roger Klein
Working Paper details
- DOI
- 10.1920/wp.cem.2005.0805
- Publisher
- IFS
Suggested citation
Klein, R and Vella, F. (2005). Estimating a class of triangular simultaneous equations models without exclusion restrictions. London: IFS. Available at: https://ifs.org.uk/publications/estimating-class-triangular-simultaneous-equations-models-without-exclusion (accessed: 1 July 2024).
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