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Instrumental values

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  • Chesher, Andrew

Abstract

This paper studies the identification of partial differences of nonseparable structural functions. The paper considers triangular structures with no more stochastic unobservables than observable outcomes, that exhibit a degree of monotonicity with respect to variation in certain stochastic unobservables. It is shown that, the existence of a set of instrumental values of covariates, over which the stochastic unobservables exhibit local quantile invariance and over which a local order condition holds, defines a model which identifies certain partial differences of structural functions. This result is useful when covariates exhibit discrete variation. The paper also considers the identification of partial derivatives in smooth structures when covariates exhibit continuous variation.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 139 (2007)
Issue (Month): 1 (July)
Pages: 15-34

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Handle: RePEc:eee:econom:v:139:y:2007:i:1:p:15-34

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Alberto Abadie & Joshua Angrist & Guido Imbens, 1999. "Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings," Working papers 99-16, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Joshua D. Angrist & Guido W. Imbens, 1995. "Identification and Estimation of Local Average Treatment Effects," NBER Technical Working Papers 0118, National Bureau of Economic Research, Inc.
  3. Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
  4. Heckman, James J & Smith, Jeffrey, 1997. "Making the Most Out of Programme Evaluations and Social Experiments: Accounting for Heterogeneity in Programme Impacts," Review of Economic Studies, Wiley Blackwell, vol. 64(4), pages 487-535, October.
  5. Andrew Chesher, 2001. "Exogenous impact and conditional quantile functions," Econometrics 0108001, EconWPA.
  6. Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc.
  7. Khan, Shakeeb, 2001. "Two-stage rank estimation of quantile index models," Journal of Econometrics, Elsevier, vol. 100(2), pages 319-355, February.
  8. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects and Econometric Policy Evaluation," NBER Working Papers 11259, National Bureau of Economic Research, Inc.
  9. Lee, Sokbae, 2003. "Efficient Semiparametric Estimation Of A Partially Linear Quantile Regression Model," Econometric Theory, Cambridge University Press, vol. 19(01), pages 1-31, February.
  10. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
  11. Andrew Chesher, 2003. "Nonparametric identification under discrete variation," CeMMAP working papers CWP19/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Edward Vytlacil, 2002. "Independence, Monotonicity, and Latent Index Models: An Equivalence Result," Econometrica, Econometric Society, vol. 70(1), pages 331-341, January.
  13. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09.
  14. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  15. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-47, March.
  16. Andrew Chesher, 2002. "Instrumental Values," CeMMAP working papers CWP17/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  17. repec:cup:etheor:v:6:y:1990:i:3:p:295-317 is not listed on IDEAS
  18. Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers 2000-17, Centre de Recherche en Economie et Statistique.
  19. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January.
  20. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  21. Joshua Angrist & Alan Krueger, 1990. "Does Compulsory School Attendance Affect Schooling and Earnings?," Working Papers 653, Princeton University, Department of Economics, Industrial Relations Section..
  22. Newey, Whitney K. & Powell, James L., 1990. "Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 6(03), pages 295-317, September.
  23. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  24. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
  25. Powell, James L, 1983. "The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 51(5), pages 1569-75, September.
  26. Mitali Das, 2000. "Instrumental Variables Estimation of Nonparametric Models with Discrete Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1008, Econometric Society.
  27. Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May.
  28. Joseph G. Altonji & Rosa L. Matzkin, 2001. "Panel Data Estimators for Nonseparable Models with Endogenous Regressors," NBER Technical Working Papers 0267, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Santos, Andres, 2011. "Instrumental variable methods for recovering continuous linear functionals," Journal of Econometrics, Elsevier, vol. 161(2), pages 129-146, April.
  2. Andrew Chesher, 2004. "Identification of sensitivity to variation in endogenous variables," CeMMAP working papers CWP10/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Kasey Buckles & Daniel M. Hungerman, 2008. "Season of Birth and Later Outcomes: Old Questions, New Answers," NBER Working Papers 14573, National Bureau of Economic Research, Inc.
  4. Jinhyun Lee, . "Sharp Bounds on Heterogeneous Individual Treatment Responses," Discussion Paper Series, Department of Economics 201310, Department of Economics, University of St. Andrews.
  5. Joel Horowitz & Sokbae 'Simon' Lee, 2007. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," CeMMAP working papers CWP02/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  6. Brunello, Giorgio & Fort, Margherita & Weber, Guglielmo, 2007. "“For One More Year with You”: Changes in Compulsory Schooling, Education and the Distribution of Wages in Europe," IZA Discussion Papers 3102, Institute for the Study of Labor (IZA).
  7. Andrew Chesher, 2005. "Nonparametric Identification under Discrete Variation," Econometrica, Econometric Society, vol. 73(5), pages 1525-1550, 09.
  8. Limor Golan & George-Levi Gayle, 2008. "Estimating a Dynamic Adverse-Selection Model: Labor-Force Experience and the Changing Gender Earnings Gap 1968-93," 2008 Meeting Papers 301, Society for Economic Dynamics.
  9. Chesher, Andrew, 2007. "Instrumental values," Journal of Econometrics, Elsevier, vol. 139(1), pages 15-34, July.
  10. Andrew Chesher, 2003. "Nonparametric identification with discrete endogenous variables," CeMMAP working papers CWP06/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Xavier d'Haultfoeuille & Philippe Février, 2011. "Identification of Nonseparable Modes with Endogeneity and Discrete Instruments," Working Papers 2011-28, Centre de Recherche en Economie et Statistique.
  12. Chesher, Andrew, 2009. "Excess heterogeneity, endogeneity and index restrictions," Journal of Econometrics, Elsevier, vol. 152(1), pages 37-45, September.

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