Advanced Search

Papers Articles Authors Institutions Data (FRED®)

Abstract

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect least squares estimators analogous to those of Heckman and Vytlacil (1999, 2001) who treat a latent index model involving a binary X. We treat the traditional case of an observed exogenous instrument (OXI)and the case where one observes error-laden proxies for an unobserved exogenous instrument (PXI). For PXI, we develop and apply new results for estimating densities and expectations conditional on mismeasured variables. For both OXI and PXI, we use infnite order flat-top kernels to obtain uniformly convergent and asymptotically normal nonparametric estimators of instrument-conditioned effects, as well as root-n consistent and asymptotically normal estimators of average effects.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://cemmap.ifs.org.uk/wps/cwp3107.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP31/07.

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

Length:
Date of creation: Dec 2007
Date of revision:
Handle: RePEc:ifs:cemmap:31/07

Contact details of provider:
Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
Email:
Web page: http://cemmap.ifs.org.uk
More information through EDIRC

Order Information:
Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Email:

Related research

Keywords:

Find related papers by JEL classification:

• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
• C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

This paper has been announced in the following NEP Reports:

• NEP-ALL-2008-01-19 (All new papers)
• NEP-ECM-2008-01-19 (Econometrics)

References

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.:

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

1. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
2. James J. Heckman & Sergio Urzua & Edward J. Vytlacil, 2006. "Understanding Instrumental Variables in Models with Essential Heterogeneity," NBER Working Papers 12574, National Bureau of Economic Research, Inc.
   
   • James J. Heckman & Sergio Urzua & Edward Vytlacil, 2006. "Understanding Instrumental Variables in Models with Essential Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 389-432, August.
   • Heckman, James J. & Urzua, Sergio & Vytlacil, Edward, 2006. "Understanding Instrumental Variables in Models with Essential Heterogeneity," IZA Discussion Papers 2320, Institute for the Study of Labor (IZA).
   • James J. Heckman & Sergio Urzua & Edward Vytlacil, 2009. "Understanding Instrumental Variables in Models with Essential Heterogeneity," Working Papers 200941, Geary Institute, University College Dublin.
3. Pedro Carneiro & James J. Heckman & Edward J. Vytlacil, 2009. "Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin," NBER Working Papers 15211, National Bureau of Economic Research, Inc.
   
   • Pedro Carneiro & James J. Heckman & Edward Vytlacil, 2010. "Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin," Econometrica, Econometric Society, vol. 78(1), pages 377-394, 01.
   • Carneiro, Pedro & Heckman, James J. & Vytlacil, Edward, 2009. "Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin," IZA Discussion Papers 4324, Institute for the Study of Labor (IZA).
   • Pedro Carneiro & James Heckman & Edward Vytlacil, 2009. "Evaluating marginal policy changes and the average effect of treatment for individuals at the margin," CeMMAP working papers CWP21/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
4. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
   
   • Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
   • HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
   • Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
   • Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
   • Hardle, W., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
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.
6. Stefan Hoderlein, 2009. "How Many Consumers are Rational?," Boston College Working Papers in Economics 748, Boston College Department of Economics.
   
   • Hoderlein, Stefan, 2011. "How many consumers are rational?," Journal of Econometrics, Elsevier, vol. 164(2), pages 294-309, October.
   • Stefan Hoderlein, 2009. "How many consumers are rational?," CeMMAP working papers CWP32/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
7. Politis, Dimitris N. & Romano, Joseph P., 1999. "Multivariate Density Estimation with General Flat-Top Kernels of Infinite Order," Journal of Multivariate Analysis, Elsevier, vol. 68(1), pages 1-25, January.
8. Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01.
9. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
10. Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
11. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June.
12. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-82, November.
13. Schennach, Susanne M., 2004. "Nonparametric Regression In The Presence Of Measurement Error," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1046-1093, December.
14. Rosa L. Matzkin, 1999. "Nonparametric Estimation of Nonadditive Random Functions," Working Papers 38, Universidad de San Andres, Departamento de Economia, revised Sep 2001.
    
    • Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09.
15. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-75, March.
    
    • 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.
16. Susanne M. Schennach, 2004. "Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models," Econometric Society 2004 North American Summer Meetings 602, Econometric Society.
    
    • Susanne M Schennach, 2007. "Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models," Econometrica, Econometric Society, vol. 75(1), pages 201-239, 01.
17. Stefan Hoderlein & Enno Mammen, 2007. "Identification of Marginal Effects in Nonseparable Models Without Monotonicity," Econometrica, Econometric Society, vol. 75(5), pages 1513-1518, 09.
18. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
19. James J. Heckman & Edward J. Vytlacil, 2000. "Local Instrumental Variables," NBER Technical Working Papers 0252, National Bureau of Economic Research, Inc.
20. Chernozhukov, Victor & Imbens, Guido W. & Newey, Whitney K., 2007. "Instrumental variable estimation of nonseparable models," Journal of Econometrics, Elsevier, vol. 139(1), pages 4-14, July.
21. Karim Chalak & Halbert White, 2007. "An Extended Class of Instrumental Variables for the Estimation of Causal Effects," Boston College Working Papers in Economics 692, Boston College Department of Economics, revised 30 Nov 2009.
22. Butcher, Kristin F & Case, Anne, 1994. "The Effect of Sibling Sex Composition on Women's Education and Earnings," The Quarterly Journal of Economics, MIT Press, vol. 109(3), pages 531-63, August.
23. Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Journal of Econometrics, Elsevier, vol. 120(2), pages 295-326, June.

Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

Cited by:

1. Karim Chalak & Halbert White, 2007. "An Extended Class of Instrumental Variables for the Estimation of Causal Effects," Boston College Working Papers in Economics 692, Boston College Department of Economics, revised 30 Nov 2009.
2. Santos, Andres, 2011. "Instrumental variable methods for recovering continuous linear functionals," Journal of Econometrics, Elsevier, vol. 161(2), pages 129-146, April.
3. Halbert White & Karim Chalak, 2008. "Identifying Structural Effects in Nonseparable Systems Using Covariates," Boston College Working Papers in Economics 734, Boston College Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:31/07

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stephanie Seavers).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

---

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.

Privacy Legal