Exogeneity in structural equation models
2006 (English)In: Journal of Econometrics, ISSN 0304-4076, Vol. 132, no 2, 527-543 p.Article in journal (Refereed) Published
The practical relevance of several concepts of exogeneity of treatments for the estimation of causal parameters based on observational data are discussed. We show that the traditional concepts, such as strong ignorability and weak and super-exogeneity, are too restrictive if interest lies in average effects (i.e. not on distributional effects of the treatment). We suggest a new definition of exogeneity, KL-exogeneity. It does not rely on distributional assumptions and is not based on counterfactual random variables. As a consequence it can be empirically tested using a proposed test that is simple to implement and is distribution-free.
Place, publisher, year, edition, pages
2006. Vol. 132, no 2, 527-543 p.
Kullback–Leibler information; Linear exponential family; Potential outcomes; Ignorability; Weak and super exogeneity
Research subject Economics
IdentifiersURN: urn:nbn:se:uu:diva-108574DOI: 10.1016/j.jeconom.2005.02.010OAI: oai:DiVA.org:uu-108574DiVA: diva2:236423