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Identification and Estimation of Triangular Simultaneous Equations Models without Additivity

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  • Whitney Newey
  • Guido Imbens

Abstract

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given the instruments. We allow for a structural disturbance of arbitrary, unknown dimension while identifying interesting structural effects, such as quantile and average effects. We consider a two-step approach to estimation. We find that the convergence rate for the second-step structural estimator depends on the strength of the instrument.

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 594.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:594

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Keywords: nonparametric endogeneity; control function; identification;

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References

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  1. Whitney Newey & James Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-16, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
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  8. Susan Athey, 2002. "Monotone Comparative Statics Under Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 117(1), pages 187-223, February.
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  10. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
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  14. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
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  21. Angrist, Joshua D & Graddy, Kathryn & Imbens, Guido W, 2000. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish," Review of Economic Studies, Wiley Blackwell, vol. 67(3), pages 499-527, July.
  22. Milgrom, Paul & Shannon, Chris, 1994. "Monotone Comparative Statics," Econometrica, Econometric Society, vol. 62(1), pages 157-80, January.
  23. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November.
  24. 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.
  25. Charles F. Manski, 1993. "The Mixing Problem in Program Evaluation," NBER Technical Working Papers 0148, National Bureau of Economic Research, Inc.
  26. Manski, C.F., 1989. "Nonparametric Bounds On Treatment Effects," Working papers 8909, Wisconsin Madison - Social Systems.
  27. Athey, Susan, 2002. "Monotone Comparative Statics Under Uncertainty," Scholarly Articles 3372263, Harvard University Department of Economics.
  28. J.D. Angrist & Guido W. Imbens & D.B. Rubin, 1993. "Identification of Causal Effects Using Instrumental Variables," NBER Technical Working Papers 0136, National Bureau of Economic Research, Inc.
  29. Andrew Chesher, 2002. "Local identification in nonseparable models," CeMMAP working papers CWP05/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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