2010
DOI: 10.1016/j.jeconom.2009.05.005
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Estimating a class of triangular simultaneous equations models without exclusion restrictions

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 155 publications
(133 citation statements)
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“…We recognize that satisfying the exclusion restriction may be difficult in practice, therefore, the results in this section are intended to be a verification tool for the reliability of the benchmark Klein-Vella (2010) IV approach. Despite the fact that these two approaches might rest on different sections of the data for information and differ in terms of statistical efficiency (i.e., Klein-Vella is less efficient than the IV method), we find that the two sets of results are largely comparable.…”
Section: Results: Identification Based On Exclusion Restrictionsmentioning
confidence: 99%
See 1 more Smart Citation
“…We recognize that satisfying the exclusion restriction may be difficult in practice, therefore, the results in this section are intended to be a verification tool for the reliability of the benchmark Klein-Vella (2010) IV approach. Despite the fact that these two approaches might rest on different sections of the data for information and differ in terms of statistical efficiency (i.e., Klein-Vella is less efficient than the IV method), we find that the two sets of results are largely comparable.…”
Section: Results: Identification Based On Exclusion Restrictionsmentioning
confidence: 99%
“…Using data covering 5,600 extreme poor households in the Mongaprone region, we investigate in detail the role of social capital in securing employment and obtaining informal loans. Correcting for the endogeneity of social capital by the heteroscedasticity-based method proposed by Klein and Vella (2010) and also by the standard IV method for a robustness check, we document that social capital plays an important role in obtaining both wage-and self-employment. We also document a weak negative effect of social capital on obtaining informal loans.…”
Section: Introductionmentioning
confidence: 81%
“…B re u sh -P a g a n te st fo r th e p re se n c e o f h e te ro ske d a stic ity in th e w a g e e q u a tio n a re re sp e c tive ly 2 6 5 .4 5 a n d 6 9 .2 3 . This section describes how to estimate the model in equations (1)- (4) using the two step semiparametric procedure in Klein and Vella (2010). First regress educ i on x i to obtain b and de…ne the reduced form residuals as:…”
Section: Discussionmentioning
confidence: 99%
“…However, their value to empirical work is limited due to the nature of the error structures they allow. Klein and Vella (2010), hereafter KV(2010), provide an estimator for a more general error structure that allows the heteroskedasticity in both equations to be functions of the same variables provided the correlation coe¢ cient for the underlying homoskedastic error terms across equations is constant. This is potentially useful for many models in Due to the nonparametric nature of the KV(2010) estimator the programming and computation requirements are demanding.…”
Section: Introductionmentioning
confidence: 99%
“…In practice, the type of restriction and the point identification strategy chosen determine the model to be used. Alternative approaches are given in Rigobon (2003), Klein and Vella (2010), Chalak and White (2011), and Lewbel (2012). However, in many empirical applications there is disagreement and concern about the exclusion restrictions imposed.…”
Section: Introductionmentioning
confidence: 99%