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Finding Exogenous Variation in Data by Abrams, Eliot; Gui, George; Hortacsu, Ali is a scholarly article available to read on EtoBox.

What is Finding Exogenous Variation in Data about?

We reconsider the classic problem of recovering exogenous variation from an endogenous regressor. Two-stage least squares recovers exogenous variation through presuming the existence of an instrumental variable. We rely instead on the assumption that the regressor is a mixture of exogenous and endogenous observations--say as the result of temporary natural experiments. With this assumption, we propose an alternative two-stage method based on nonparametrically estimating a mixture model to recover a subset of the exogenous observations. We demonstrate that our method recovers exogenous observations in simulation and can be used to find pricing experiments hidden in grocery store scanner data.

Author

Abrams, Eliot; Gui, George; Hortacsu, Ali

Published

2017

Language

EN