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Instrumental variable models for discrete outcomes

Authors: Andrew Chesher
Date: 27 November 2008
Type: cemmap Working Paper, CWP30/08
DOI: 10.1920/wp.cem.2008.3008


Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated. Point identification is typically not achieved by imposing parametric restrictions. The extent of an identified set varies with the strength and support of instruments and typically shrinks as the support of a discrete outcome grows. The paper extends the analysis of structural quantile functions with endogenous arguments to cases in which there are discrete outcomes.

This paper is a revised version of the original issued in December 2008.

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Now published:
Andrew Chesher March 2010, Instrumental variable models for discrete outcomes, Journal article
Previous version:
Andrew Chesher March 2007, Endogeneity and discrete outcomes, cemmap Working Paper, CWP05/07

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