Viewpoint: An Extended Class of Instrumental Variables for the Estimation of Causal Effects (Une Classe Tendue De Variables Instrumentales Pour L'Estimation Des Effets De Causalit)

51 Pages Posted: 14 Mar 2011

See all articles by Karim Chalak

Karim Chalak

affiliation not provided to SSRN

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Abstract

We examine how structural systems can yield observed variables instrumental in identifying and estimating causal effects. We provide an exhaustive characterization of potentially identifying conditional exogeneity relationships and demonstrate how structural relations determine exogeneity and exclusion restrictions that yield moment conditions supporting identification. This provides a comprehensive framework for constructing instruments and covariates. We introduce notions of conditioning and conditional extended instrumental variables (XIVs). These permit identification but need not be traditional instruments, as they may be endogenous. We distinguish between observed XIVs and proxies for unobserved XIVs. A main message is the importance of sufficiently specifying causal relations governing the unobservables.

(Les auteurs examinent comment des systmes structurels peuvent engendrer des variables observes instrumentales dans l'identification et l'estimation d'effets de causalit. On fournit une caractrisation exhaustive des relations d'exognit conditionnelle potentiellement porteuses d'identification, et on dmontre comment des relations structurelles dterminent les restrictions d'exognit et d'exclusion qui engendrent les conditions de moment qui supportent l'identification. Cela fournit un cadre comprhensif pour construire instruments et covariables. On introduit des notions de variables instrumentales tendues conditionnantes et conditionnelles (XIVs). Celles-ci permettent l'identification, mais n'ont pas tre des instruments traditionnels, parce qu'elles peuvent tre endognes. On distingue entre les XIVs observes et les variables concomitantes avec les XIVs non-observes. Un message central est l'importance de suffisamment spcifier les relations causales qui gouvernent les non-observables.)

JEL Classification: C10, C13, C21, C31, C51

Suggested Citation

Chalak, Karim and White, Halbert L., Viewpoint: An Extended Class of Instrumental Variables for the Estimation of Causal Effects (Une Classe Tendue De Variables Instrumentales Pour L'Estimation Des Effets De Causalit). Canadian Journal of Economics/Revue canadienne d'economique, Vol. 44, Issue 1, pp. 1-51, 2011, Available at SSRN: https://ssrn.com/abstract=1784077 or http://dx.doi.org/10.1111/j.1540-5982.2010.01622.x

Karim Chalak (Contact Author)

affiliation not provided to SSRN

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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