TY  - RPRT
        AU  - Klein, Roger
AU  - Vella, Francis
        TI  - Estimating a Class of Triangular Simultaneous Equations Models Without Exclusion Restrictions
        PY  - 2006/Oct/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 2378
        UR  - https://www.iza.org/publications/dp2378
        AB  - This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations model where there are no available exclusion restrictions to generate suitable instruments. Our approach is to exploit the dependence of the errors on exogenous variables (e.g. heteroscedasticity) to adjust the conventional control function estimator. The form of the error dependence on the exogenous variables is subject to restrictions, but is not parametrically specified. In addition to providing the estimator and deriving its large-sample properties, we present simulation evidence which indicates the estimator works well.
        KW  - heteroskedasticity
KW  - control function
KW  - endogeneity
        ER  -