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Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

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  • Joseph G. Altonji

    (Department of Economics, Yale University and NBER)

  • Hidehiko Ichimura

    (Faculty of Economics, University of Tokyo)

  • Taisuke Otsu

    (Faculty of Economics, Yale University)

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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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-574.

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Length: 42 pages
Date of creation: Jul 2008
Date of revision:
Handle: RePEc:tky:fseres:2008cf574

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Citations

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Cited by:
  1. Joseph Altonji & Hidehiko Ichimura & Taisuke Otsu, 2008. "Estimating derivatives in nonseparable models with limited dependent variables," CeMMAP working papers CWP20/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Ana Fernandes, 2000. "Altruism with Endogenous Labor Supply," Econometric Society World Congress 2000 Contributed Papers 0844, Econometric Society.
  3. Whitney Newey & Guido Imbens, 2004. "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity," Econometric Society 2004 North American Summer Meetings 594, Econometric Society.
  4. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09.
  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. Ernesto Villanueva, 2003. "Parental altruism under imperfect information: theory and evidence," Working Papers 19, Barcelona Graduate School of Economics.
  7. Rosa L. Matzkin & James Heckman & Lars Nesheim, 2002. "Nonparametric Estimation and Nonadditive Hedonic Models," Working Papers 51, Universidad de San Andres, Departamento de Economia, revised Jun 2002.
  8. Elin Halvorsen & Thor Olav Thoresen, 2008. "Parents' Desire to Make Equal Inter Vivos Transfers," CESifo Working Paper Series 2468, CESifo Group Munich.
  9. Ben Lakhdar, Christian & Cauchie, Grégoire & Vaillant, Nicolas Gérard & Wolff, François-Charles, 2012. "The role of family incomes in cigarette smoking: Evidence from French students," Social Science & Medicine, Elsevier, vol. 74(12), pages 1864-1873.
  10. Harounan Kaziango, 2004. "Motives for Household Private Transfers in Burkina Faso," Working Papers 895, Economic Growth Center, Yale University.
  11. 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.

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