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Quantile driven identification of structural derivatives

  • Andrew Chesher

    ()

    (Institute for Fiscal Studies and University College London)

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.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0108.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 CWP08/01.

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Length: 39 pp.
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:ifs:cemmap:08/01
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