Semiparametric distribution regression with instruments and monotonicity

This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators and the idea of control functions. We discuss the causal interpretation of the estimators and two methods (...

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Bibliographic Details
Published in:Labour economics 2024-10, Vol.90, p.102565, Article 102565
Main Author: Wied, Dominik
Format: Article
Language:English
Subjects:
Control function
Endogeneity
Isotonic regression
Mincer-type equations
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Summary:This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators and the idea of control functions. We discuss the causal interpretation of the estimators and two methods (monotone rearrangement and isotonic regression) to ensure a monotonically increasing distribution function. Asymptotic properties and simulation evidence are provided. An application to income equations with German SOEP data reveals statistically significant and heterogeneous differences to the inconsistent non-IV-based estimator. •IV-based estimators for the semiparametric distribution regression model are proposed.•Methods for ensuring a monotonically increasing distribution function.•Asymptotic properties and simulation evidence.•Application to German SOEP data.
ISSN:0927-5371
DOI:10.1016/j.labeco.2024.102565