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Local identification in nonseparable models

  • Andrew Chesher

    ()

    (Institute for Fiscal Studies and University College London)

Conditions are derived under which there is local nonparametric identification of values of structural functions and of their derivatives in potentially nonlinear nonseparable models. The attack on this problem is via conditional quantile functions and exploits local quantile independence conditions. The identification conditions include local analogues of the order and rank conditions familiar in the analysis of linear simultaeous equations models. The derivatives whose identification is sought are derivatives of structural equations at a point defined by values of covariates and quantiles of the distributions of the stochastic drivers of the system. These objects convey information about the distribution of the exogenous impact of changes in variables potentially endogenous in the data generating process. The identification conditions point directly to analogue estimators of derivatives of structural functions which are functionals of quantile regression function estimators.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0502.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP05/02.

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Length: 33 pp.
Date of creation: 20 Mar 2002
Date of revision:
Handle: RePEc:ifs:cemmap:05/02
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  2. Susan Athey & Guido W. Imbens, 2002. "Identification and Inference in Nonlinear Difference-In-Differences Models," NBER Technical Working Papers 0280, National Bureau of Economic Research, Inc.
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  7. Katz, Lawrence F. & Meyer, Bruce D., 1990. "The impact of the potential duration of unemployment benefits on the duration of unemployment," Journal of Public Economics, Elsevier, vol. 41(1), pages 45-72, February.
  8. Charles F. Manski & John V. Pepper, 2000. "Monotone Instrumental Variables, with an Application to the Returns to Schooling," Econometrica, Econometric Society, vol. 68(4), pages 997-1012, July.
  9. Jennifer Hunt, 1992. "The Effect of Unemployment Compensation on Unemployment Duration in Germany," Discussion Papers of DIW Berlin 50, DIW Berlin, German Institute for Economic Research.
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