0
$\begingroup$

My understanding of the endogeneity issue is that $\mathbb{E}[Y|X]$ is inconsistently estimated. For instance if we know $\mathbb{E}[Y|X] = \theta X$, then the estimator $\hat{\theta}$ is inconsistent (or biased). My question is, provided that endogeneity issue exists, do we still have $$\mathbb{E}[Y] = \mathbb{E}[\mathbb{E}[Y|X]]? $$ My concern is if $\mathbb{E}[Y|X]$ is incorrectly estimated, then the outer expectation may be incorrect as well.

| cite | improve this question | | | | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.