Identification-robust inference for endogeneity parameters in linear structural models
We provide a generalization of the Anderson–Rubin (AR) procedure for inference on parameters that represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We stress the distinction between regression and covariance endogeneity parameters. Such parameters have intrinsic interest (because they measure the effect of latent variables, which induce simultaneity) and play a central role in…