PLAUSIBLY EXOGENOUS

• 成果类型: Article
• 署名作者: Conley, Timothy G.; Hansen, Christian B.; Rossi, Peter E.
• 署名单位: University of Chicago
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00139
• 发表日期: 2012-02
• 页码: 260-272
• 关键词: instrumental variables; sensitivity-analysis; identification; regression

摘要

Instrumental variable (IV) methods are widely used to identify causal effects in models with endogenous explanatory variables. Often the instrument exclusion restriction that underlies the validity of the usual IV inference is suspect; that is, instruments are only plausibly exogenous. We present practical methods for performing inference while relaxing the exclusion restriction. We illustrate the approaches with empirical examples that examine the effect of 401(k) participation on asset accumulation, price elasticity of demand for margarine, and returns to schooling. We find that inference is informative even with a substantial relaxation of the exclusion restriction in two of the three cases.