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IV models of ordered choice

Authors: Andrew Chesher and Konrad Smolinski
Date: 01 January 2012
Type: Journal Article, Journal of Econometrics, Vol. 166, No. 1, pp. 33-48

Abstract

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying for parametrically (e.g. ordered probit) or nonparametrically specified structural functions. The paper gives results on the properties of the identified set for the case in which potentially endogenous explanatory variables are discrete. The results are used as the basis for calculations showing the rate of shrinkage of identified sets as the number of classes in which the outcome is categorised increases.

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Previous version:
Andrew Chesher and Konrad Smolinski December 2009, IV models of ordered choice, cemmap Working Paper, CWP37/09

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