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Semiparametric Structural Models Of Binary Response: Shape Restrictions And Partial Identification

  • Chesher, Andrew

I study the partial identifying power of structural single-equation threshold-crossing models for binary responses when explanatory variables may be endogenous. The sharp identified set of threshold functions is derived for the case in which explanatory variables are discrete, and I provide a constructive proof of sharpness. There is special attention to a widely employed semiparametric shape restriction, which requires the threshold-crossing function to be a monotone function of a linear index involving the observable explanatory variables. The restriction brings great computational benefits, allowing calculation of the identified set of index coefficients without calculating the nonparametrically specified threshold function. With the restriction in place, the methods of the paper can be applied to produce identified sets in a class of binary response models with mismeasured explanatory variables.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 29 (2013)
Issue (Month): 02 (April)
Pages: 231-266

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Handle: RePEc:cup:etheor:v:29:y:2013:i:02:p:231-266_00
Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
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  1. Andrew Chesher & Adam M. Rosen & Konrad Smolinski, 2013. "An instrumental variable model of multiple discrete choice," Quantitative Economics, Econometric Society, vol. 4(2), pages 157-196, 07.
  2. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
  3. Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Andrew Chesher & Adam Rosen, 2012. "Simultaneous equations for discrete outcomes:coherence, completeness, and identification," CeMMAP working papers CWP21/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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  6. Mathias Dewatripont & Lars Peter Hansen & Stephen Turnovsky, 2003. "Advances in economics and econometrics: the eighth world congress," ULB Institutional Repository 2013/9557, ULB -- Universite Libre de Bruxelles.
  7. J.P. Florensy & J. J. Heckmanz & C. Meghirx & E. Vytlacil, 2008. "Identification of Treatment Effects Using Control Functions in Models with Continuous, Endogenous Treatment and Heterogeneous Effects," Working Papers 200832, Geary Institute, University College Dublin.
  8. Andrew Chesher, 2003. "Nonparametric identification under discrete variation," CeMMAP working papers CWP19/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Smith, Richard J & Blundell, Richard W, 1986. "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica, Econometric Society, vol. 54(3), pages 679-85, May.
  10. Richard W. Blundell & James L. Powell, 2004. "Endogeneity in Semiparametric Binary Response Models," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 655-679.
  11. Richard Blundell & Rosa Matzkin, 2010. "Conditions for the existence of control functions in nonseparable simultaneous equations models," CeMMAP working papers CWP28/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Richard Blundell & James Powell, 2001. "Endogeneity in nonparametric and semiparametric regression models," CeMMAP working papers CWP09/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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  14. Rivers, Douglas & Vuong, Quang H., 1988. "Limited information estimators and exogeneity tests for simultaneous probit models," Journal of Econometrics, Elsevier, vol. 39(3), pages 347-366, November.
  15. Magnac, Thierry & Maurin, Eric, 2003. "Identification and Information in Monotone Binary Models," IDEI Working Papers 180, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2004.
  16. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July.
  17. repec:cup:cbooks:9780521692090 is not listed on IDEAS
  18. Andrew Chesher & Konrad Smolinski, 2009. "IV models of ordered choice," CeMMAP working papers CWP37/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  19. Magnac, Thierry & Maurin, Eric, 2004. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," IDEI Working Papers 280, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jan 2005.
  20. repec:cup:cbooks:9780521871549 is not listed on IDEAS
  21. Azeem M. Shaikh & Edward J. Vytlacil, 2011. "Partial Identification in Triangular Systems of Equations With Binary Dependent Variables," Econometrica, Econometric Society, vol. 79(3), pages 949-955, 05.
  22. Andrew Chesher, 2008. "Instrumental variable models for discrete outcomes," CeMMAP working papers CWP30/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  23. Edward Vytlacil & Nese Yildiz, 2007. "Dummy Endogenous Variables in Weakly Separable Models," Econometrica, Econometric Society, vol. 75(3), pages 757-779, 05.
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