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Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity

  • Guido W. Imbens
  • Whitney K. Newey

This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form that is strictly monotonic in a scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable. Also, for any control variable, identification results are given for quantile, average, and policy effects. Bounds are given when a common support assumption is not satisfied. Estimators of identified objects and bounds are provided, and a demand analysis empirical example is given. Copyright 2009 The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 77 (2009)
Issue (Month): 5 (09)
Pages: 1481-1512

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Handle: RePEc:ecm:emetrp:v:77:y:2009:i:5:p:1481-1512
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