Kiviet, Jan (2019): Instrumentfree inference under confined regressor endogeneity; derivations and applications.

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Abstract
A fullyfledged alternative to TwoStage LeastSquares (TSLS) inference is developed for general linear models with endogenous regressors. This alternative approach does not require the adoption of external instrumental variables. It generalizes earlier results which basically assumed all variables in the model to be normally distributed and their observational units to be stochastically independent. Now the chosen underlying framework corresponds completely to that of most empirical crosssection or timeseries studies using TSLS. This enables revealing empirically relevant replication studies, also because the new technique allows testing the earlier untestable exclusion restrictions adopted when applying TSLS. For three illustrative case studies a new perspective on their empirical findings results. The new technique is computationally not very demanding. It involves scanning leastsquaresbased results over all compatible values of the nuisance parameters established by the correlations between regressors and disturbances.
Item Type:  MPRA Paper 

Original Title:  Instrumentfree inference under confined regressor endogeneity; derivations and applications 
Language:  English 
Keywords:  endogeneity robust inference, instrument validity tests, replication studies, sensitivity analysis, twostage leastsquares. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C21  CrossSectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C26  Instrumental Variables (IV) Estimation 
Item ID:  96839 
Depositing User:  Professor Jan Kiviet 
Date Deposited:  16 Nov 2019 09:12 
Last Modified:  16 Nov 2019 09:12 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/96839 