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Exogeneity in structural equation models
Department of Statistics, Umeå University.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2006 (English)In: Journal of Econometrics, ISSN 0304-4076, Vol. 132, no 2, 527-543 p.Article in journal (Refereed) Published
Abstract [en]

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.
Keyword [en]
Kullback–Leibler information; Linear exponential family; Potential outcomes; Ignorability; Weak and super exogeneity
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:uu:diva-108574DOI: 10.1016/j.jeconom.2005.02.010OAI: oai:DiVA.org:uu-108574DiVA: diva2:236423
Available from: 2009-09-22 Created: 2009-09-22 Last updated: 2010-06-10Bibliographically approved

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