计量经济学（北京大学，陈东）06_endogeneity.pdfVIP

Topic 6: Endogeneity: Omitted Variables and Measurement Error Advanced Econometrics (I) Dong Chen School of Economics, Peking University An independent variable is said to be endogenous if it is correlated with the disturbance term. In other words, the orthogonality condition fails. Usually endogeneity may arise in three ways: (1) omitted variables; (2) measurement error; and (3) simultaneity. In this topic, we are going to cover the issues of omitted variables and measurement errors, and then introduce the instrumental variable (IV) method.