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Testing the Exclusion Restriction with a Single Instrument: Identification through Fourth-Order Cumulants under Latent Confounding

Delbianco, Fernando
arXiv (All) · Papers
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econometrics
With a single instrument the exclusion restriction is untestable from second moments, and adding the instrument to the structural equation fails because the regressor is endogenous. When the endogeneity comes from a latent common cause with non-Gaussian components, the restriction becomes genericall
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