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Identification of a class of index models: A topological approach

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  • Mogens Fosgerau
  • Dennis Kristensen

Abstract

SummaryWe establish nonparametric identification in a class of so-called index models by using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions characterising the model than those required by existing strategies; in particular, it does not require any large-support conditions on the regressors of our model. We apply the general identification result to additive random utility and competing risk models.

Suggested Citation

  • Mogens Fosgerau & Dennis Kristensen, 2021. "Identification of a class of index models: A topological approach," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 121-133.
    • Handle: RePEc:oup:emjrnl:v:24:y:2021:i:1:p:121-133.
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    File URL: http://hdl.handle.net/10.1093/ectj/utaa016
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    Cited by:

    1. Pietro Tebaldi & Alexander Torgovitsky & Hanbin Yang, 2023. "Nonparametric Estimates of Demand in the California Health Insurance Exchange," Econometrica, Econometric Society, vol. 91(1), pages 107-146, January.
    2. Sørensen, Jesper R.-V. & Fosgerau, Mogens, 2022. "How McFadden met Rockafellar and learned to do more with less," Journal of Mathematical Economics, Elsevier, vol. 100(C).
    3. Allen, Roy & Rehbeck, John, 2024. "Latent utility and permutation invariance: A revealed preference approach," Journal of Econometrics, Elsevier, vol. 244(1).

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