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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

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Author Info
Joseph G. Altonji () (Dept. of Economics, Yale University)
Hidehiko Ichimura (University of Tokyo)
Taisuke Otsu () (Cowles Foundation, Yale University)

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Abstract

We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea is to first estimate the derivative of the conditional mean of Y given X at x with respect to x on the uncensored sample without correcting for the effect of changes in x induced on the censored population. We then correct the derivative for the effects of the selection bias. We propose nonparametric and semiparametric estimators for the derivative. As extensions, we discuss the cases of discrete regressors, measurement error in dependent variables, and endogenous regressors in a cross section and panel data context.

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File URL: http://cowles.econ.yale.edu/P/cd/d16b/d1668.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1668.

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Length: 41 pages
Date of creation: Jul 2008
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Handle: RePEc:cwl:cwldpp:1668

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Censored regression Nonseparable models Endogenous regressors Tobit Extreme quantiles

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  7. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07. [Downloadable!] (restricted)
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  9. Chaudhuri, Probal, 1991. "Global nonparametric estimation of conditional quantile functions and their derivatives," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 246-269, November. [Downloadable!] (restricted)
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  16. Kazianga, H., 2006. "Motives for household private transfers in Burkina Faso," Journal of Development Economics, Elsevier, vol. 79(1), pages 73-117, February. [Downloadable!] (restricted)
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  19. Altonji, Joseph G & Hayashi, Fumio & Kotlikoff, Laurence J, 1997. "Parental Altruism and Inter Vivos Transfers: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1121-66, December.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ana Fernandes, 2000. "Altruism with Endogenous Labor Supply," Econometric Society World Congress 2000 Contributed Papers 0844, Econometric Society. [Downloadable!]
    Other versions:
  2. Ernesto Villanueva, 2002. "Parental Altruism under Imperfect Information: Theory and Evidence," Economics Working Papers 650, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
  3. Guido W. Imbens & Whitney K. Newey, 2002. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," NBER Technical Working Papers 0285, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Harounan Kaziango, 2004. "Motives for Household Private Transfers in Burkina Faso," Working Papers 895, Economic Growth Center, Yale University. [Downloadable!]
    Other versions:
  5. 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. [Downloadable!] (restricted)
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