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Identification in additive error models with discrete endogenous variables

Authors: Andrew Chesher
Date: 05 September 2004
Type: cemmap Working Paper, CWP11/04
DOI: 10.1920/wp.cem.2004.1104

Abstract

In additive error models with a discrete endogenous variable identification cannot be achieved under a marginal covariation condition when the support of instruments is sparse relative to the support of the endogenous variable.

An iterated covariation condition with a weak montonicity restriction is shown to have set identifying power.

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