Instrumental Variables and Structural Equations

Instructor: Jaya Krishnakumar, Professor, Department of Econometrics, University of Geneva

Class Objectives:

  • The Econometric Approach
  • Regression Models – Classical, Generalised, Qualitative Response
  • Endogeneity Issue, Instrumental Variables, Generalised Method of Moments
  • The Idea behind Latent Variable Modelling
  • Factor Analysis, MIMIC and Structural Equation Models
  • Model-based Multidimensional Indices

Class Notes:
Exogeneity
GLS
GMM
ID Test
IV
OLS
QUAL
Tests
Latent Variable Approach

Video

Part 1

[flashvideo title=Structural Equations image=wp-content/uploads/default_video.jpg file=wp-content/uploads/SSStructEquations_Krishnakumar_Part1_05080908.m4v /]

Part 2

[flashvideo title=Structural Equations image=wp-content/uploads/default_video.jpg file=wp-content/uploads/SSStructEquations_Krishnakumar_Part2_080908.m4v /]

Part 3

[flashvideo title=Structural Equations image=wp-content/uploads/default_video.jpg file=wp-content/uploads/SSStructEquations_Krishnakumar_Part3_080908.m4v /]

Download Videos  (large files)
Structural Equations Part 1 , Structural Equations Part 2 , Structural Equations Part 3 [To save file, right click to “Save Target As” (Windows) or control + click (Mac)]

Reading List
Suggested basic textbooks:
CARTER HILL, R., GRIFFITHS, W.E. and G.C. LIM. (2008): Principles of Econometrics. 3rd edition. John Wiley & Sons.
GREENE, W.H. (2003): Econometric Analysis. 4th ed.. Upper Saddle River N.J.: Prentice Hall.
JOHNSTON, J. and J. DINARDO. (1997): Econometric Methods. 4th ed.. New York: McGraw-Hill.
VERBEEK, M. (2008): Modern Econometrics. 3rd edition. Chichester: John Wiley and Sons.
BARTHOLOMEW, D.J. and M.KNOTT. (1999): Latent Variable Models and Factor Analysis. U.K.: Edward Arnold.
BOLLEN, K.A. (1989): Structural Equations with Latent Variables. New York: John Wiley and Sons.
SKRONDAL, A. and S. RABE-HESKETH. (2004): Generalized Latent Variable Modeling: Multilevel, Longitudinal, and Structural Equation Models. Boca Raton: Chapman & Hall.

Suggestions on publications that relate or apply this topic to the capability approach:

KRISHNAKUMAR, J. (2007): “Going Beyond Functionings to Capabilities: An Econometric Model to Explain and Estimate Capabilities”, Journal of Human Development. Vol. 8, No.1,: 39-63.
KRISHNAKUMAR, J. (2008): “Multidimensional Measures of Poverty and Wellbeing Based on Latent Variable Models”, in N. Kakwani and J. Silber (eds.), Quantitative Approaches to Multidimensional Poverty Measurement. New York: Palgrave Macmillan.
KRISHNAKUMAR, J. and P. BALLON. (2008): “Estimating Basic Capabilities: A Structural Equation Model Applied to Bolivia”, World Developmen. 36 (6): 992-1010.
KRISHNAKUMAR, J. and A.L. NAGAR. (2008): “On Exact Statistical Properties of Multidimensional Indices Based on Principal Components, Factor Analysis, MIMIC and Structural Equation Models”, Social Indicators Research. 86:481-496.
KUKLYS, W. (2005): Amartya Sen’s Capability Approach: Theoretical Insights and Empirical Applications. Berlin: Springer.
WAGLE, U. (2005). “Multidimensional Poverty Measurement with Economic Well-Being, Capability and Social Inclusion: A Case from Kathmandu, Nepal”, Journal of Human Development. 6, 3: 301-328.