无工具变量下三角两方程系统的识别

Identification of a Triangular Two Equation System Without Instruments

Journal of Business & Economic Statistics · 2023
被引 10
人大 AABS 4

中文导读

证明标准线性三角两方程系统无需工具变量即可点识别,仅当导致内生性的潜变量服从正态分布时无法点识别,此时给出锐化识别集。应用于Acemoglu和Johnson的预期寿命与GDP模型,无需工具变量即获得点识别和可比估计。

Abstract

We show that a standard linear triangular two equation system can be point identified, without the use of instruments or any other side information. We find that the only case where the model is not point identified is when a latent variable that causes endogeneity is normally distributed. In this nonidentified case, we derive the sharp identified set. We apply our results to Acemoglu and Johnson’s model of life expectancy and GDP, obtaining point identification and comparable estimates to theirs, without using their (or any other) instrument.

三角方程组点识别内生性无工具变量