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Nonparametric identification of a binary random factor in cross section data

  • Dong, Yingying
  • Lewbel, Arthur

Suppose V and U are two independent mean zero random variables, where V has an asymmetric distribution with two mass points and U has some zero odd moments (having a symmetric distribution suffices). We show that the distributions of V and U are nonparametrically identified just from observing the sum V+U, and provide a pointwise rate root n estimator. This can permit point identification of average treatment effects when the econometrician does not observe who was treated. We extend our results to include covariates X, showing that we can nonparametrically identify and estimate cross section regression models of the form Y=g(X,D*)+U, where D* is an unobserved binary regressor.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 163 (2011)
Issue (Month): 2 (August)
Pages: 163-171

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Handle: RePEc:eee:econom:v:163:y:2011:i:2:p:163-171
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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