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Control variables, discrete instruments, and identification of structural functions

Authors: Whitney K. Newey and Sami Stouli
Date: 18 September 2018
Type: cemmap Working Paper, CWP55/18

Abstract

Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the control variables affect the outcome. We consider many structural objects of interest, such as average or quantile treatment effects. We illustrate our results with an empirical application to Engel curve estimation.

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