Javier Alejo, Antonio F. Galvao, Julian Martinez-Iriarte, Gabriel Montes-Rojas
arXiv 3 Dec 2024 · Econometrics
arXiv:2412.02767 · PDF · DOI · OpenAlex · Extracted main text
Linear regressions with endogeneity are widely used to estimate causal effects. This paper studies a framework that involves two common issues: endogeneity of the regressors and heteroskedasticity that depends on endogenous regressors-i.e., endogenous heteroskedasticity. We show that the presence of endogenous heteroskedasticity in the structural regression renders the two-stage least squares estimator inconsistent. To address this issue, we propose sufficient conditions and a control function approach to identify and estimate the causal parameters of interest. We establish the limiting properties of the estimator--namely, consistency and asymptotic normality--and propose inference procedures. Monte Carlo simulations provide evidence on the finite-sample performance of the proposed methods and evaluate different implementation strategies. We revisit an empirical application on job training to illustrate the methods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | J. P. Florens and J. J. Heckman and C. Meghir and E. Vytlacil (2008) Identification of Treatment Effects Using Control Functions in Models with Continuous, Endogenous Treatment and Heterogeneous Ef… | 0.971 | 12 | 4 | 92% |
| 2 | Jason Abrevaya and Haiqing Xu (2023) Estimation of Treatment Effects under Endogenous Heteroskedasticity | 0.950 | 7 | 3 | 86% |
| 3 | Joseph P. Romano and Michael Wolf (2017) Resurrecting Weighted Least Squares | 0.928 | 4 | 4 | 100% |
| 4 | R. Blundell and J.L. Powell (2008) Endogeneity in Nonparametric and Semiparametric Regression Models | 0.644 | 2 | 2 | 100% |
| 5 | Sainan Jin and Liangjun Su and Zhijie Xiao (2015) Adaptive Nonparametric Regression with Conditional Heteroskedasticity | 0.644 | 2 | 2 | 100% |
| 6 | Oliver Linton and Zhijie Xiao (2019) Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity | 0.644 | 2 | 2 | 100% |
| 7 | Jeffrey M. Wooldridge (2012) Introductory Econometrics: A Modern Approach | 0.644 | 2 | 2 | 100% |
| 8 | Jeffrey M. Wooldridge (2010) Econometric Analysis of Cross Section and Panel Data | 0.511 | 2 | 2 | 50% |
| 9 | Alberto Abadie and Joshua Angrist and Guido Imbens (2002) Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings | 0.511 | 2 | 1 | 100% |
| 10 | Stacey H. Chen and Shakeeb Khan (2014) Semi-Parametric Estimation of Program Impacts on Dispersion of Potential Wages | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 26 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Distance Covariance-based Estimator | 0.405 | 1 | 1 |