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Quantile driven identification of structural derivatives

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  • Andrew Chesher

    () (Institute for Fiscal Studies and University College London)

Abstract

Conditions are derived under which there is local nonparametric identification of derivatives of structural equations in nonlinear triangular simultaneous equations systems. 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 simultaneous equations models. The objects 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 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.

Suggested Citation

  • Andrew Chesher, 2001. "Quantile driven identification of structural derivatives," CeMMAP working papers CWP08/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:08/01
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    File URL: http://cemmap.ifs.org.uk/wps/cwp0108.pdf
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    Cited by:

    1. Ma, Lingjie & Koenker, Roger, 2006. "Quantile regression methods for recursive structural equation models," Journal of Econometrics, Elsevier, vol. 134(2), pages 471-506, October.
    2. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
    4. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
    5. Arthur Lewbel & Oliver Linton, 2007. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Econometrica, Econometric Society, vol. 75(4), pages 1209-1227, July.
    6. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.

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