centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Excess heterogeneity, endogeneity and index restrictions

Authors: Andrew Chesher
Date: 30 September 2009
Type: Journal Article, Journal of Econometrics, Vol. 152, No. 1, pp. 37--45
DOI: 10.1016/j.jeconom.2009.02.004

Abstract

A discrete or continuous outcome is determined by a structural function in which the effect of some variables of interest is transmitted through a scalar index. Multiple sources of stochastic variation can appear as arguments of the structural function, but not in the index. There may be endogeneity, that is observable and unobservable variables may not be independently distributed. Conditions are provided under which there is local identification of measures of the relative sensitivity of the index to variations in pairs of its possibly endogenous arguments, namely ratios of partial derivatives of the index.

Previous version:
Andrew Chesher December 2005, Identification with excess heterogeneity, cemmap Working Paper, CWP19/05

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us