Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity

This paper uses control variables to indentify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form that is strictly monotonic in a scalar disturbance....

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Bibliographic Details
Published in:Econometrica 2009-09, Vol.77 (5), p.1481-1512
Main Authors: Imbens, Guido W., Newey, Whitney K.
Format: Article
Language:English
Subjects:
Applications
average derivative
bounds
Control variables
Cumulative distribution functions
Demand analysis
Density estimation
Distribution theory
Econometrics
Economic models
Economic theory
Estimating techniques
Estimation
Estimators
Exact sciences and technology
Instrumental variables estimation
Insurance, economics, finance
Mathematical functions
Mathematics
Model testing
nonparametric estimation
Nonparametric models
Nonseparable models
policy effect
Probability and statistics
Probability theory and stochastic processes
quantile effects
Scalars
Sciences and techniques of general use
Simultaneous equations
Statistics
Studies
Citations: Items that cite this one
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Description
Summary:This paper uses control variables to indentify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form that is strictly monotonic in a scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable. Also, for any control variable, identification results are given for quantile, average, and policy effects. Bounds are given when a common support assumption is not satisfied. Estimators of identified objects and bounds are provided, and a demand analysis empirical example is given.
ISSN:0012-9682
1468-0262
DOI:10.3982/ECTA7108