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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

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Author Info
Joseph G. Altonji
Hidehiko Ichimura
Taisuke Otsu

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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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 14161.

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Date of creation: Jul 2008
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Handle: RePEc:nbr:nberwo:14161

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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
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  21. 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.
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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. Julie Zissimopoulos, 2001. "Resource Transfers to the Elderly: Do Adult Children Substitute Financial Transfers for Time Transfers?," Working Papers 01-05, RAND Corporation Publications Department. [Downloadable!]
  3. 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:
  4. 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:
  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)
  6. Harounan Kaziango, 2004. "Motives for Household Private Transfers in Burkina Faso," Working Papers 895, Economic Growth Center, Yale University. [Downloadable!]
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