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Estimating average marginal effects in nonseparable structural systems

Author

Listed:
  • Susanne M. Schennach

    (Institute for Fiscal Studies and Brown University)

  • Halbert White

    (Institute for Fiscal Studies)

  • Karim Chalak

    (Institute for Fiscal Studies)

Abstract

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect least squares estimators analogous to those of Heckman and Vytlacil (1999, 2001) who treat a latent index model involving a binary X. We treat the traditional case of an observed exogenous instrument (OXI)and the case where one observes error-laden proxies for an unobserved exogenous instrument (PXI). For PXI, we develop and apply new results for estimating densities and expectations conditional on mismeasured variables. For both OXI and PXI, we use infnite order flat-top kernels to obtain uniformly convergent and asymptotically normal nonparametric estimators of instrument-conditioned effects, as well as root-n consistent and asymptotically normal estimators of average effects.

Suggested Citation

  • Susanne M. Schennach & Halbert White & Karim Chalak, 2007. "Estimating average marginal effects in nonseparable structural systems," CeMMAP working papers CWP31/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:31/07
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    Cited by:

    1. Karim Chalak & Halbert White, 2011. "Viewpoint: An extended class of instrumental variables for the estimation of causal effects," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(1), pages 1-51, February.
    2. Susanne M. Schennach, 2012. "Measurement error in nonlinear models - a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Xavier d'Haultfoeuille & Stefan Hoderlein & Yuya Sasaki, 2013. "Nonlinear difference-in-differences in repeated cross sections with continuous treatments," CeMMAP working papers 40/13, Institute for Fiscal Studies.
    4. James J. Heckman, 2010. "Building Bridges between Structural and Program Evaluation Approaches to Evaluating Policy," Journal of Economic Literature, American Economic Association, vol. 48(2), pages 356-398, June.
    5. Joeri Smits & Jeffrey S. Racine, 2013. "Testing Exclusion Restrictions in Nonseparable Triangular Models," Department of Economics Working Papers 2013-02, McMaster University.
    6. James J. Heckman & John Eric Humphries & Gregory Veramendi, 2018. "Returns to Education: The Causal Effects of Education on Earnings, Health, and Smoking," Journal of Political Economy, University of Chicago Press, vol. 126(S1), pages 197-246.
    7. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    8. Hoderlein, Stefan & White, Halbert, 2012. "Nonparametric identification in nonseparable panel data models with generalized fixed effects," Journal of Econometrics, Elsevier, vol. 168(2), pages 300-314.
    9. Luke Taylor & Taisuke Otsu, 2019. "Estimation of nonseparable models with censored dependent variables and endogenous regressors," Econometric Reviews, Taylor & Francis Journals, vol. 38(1), pages 4-24, January.
    10. Karim Chalak & Halbert White, 2007. "An Extended Class of Instrumental Variables for the Estimation of Causal Effects," Boston College Working Papers in Economics 692, Boston College Department of Economics, revised 30 Nov 2009.
    11. Hao Dong & Yuya Sasaki, 2022. "Estimation of average derivatives of latent regressors: with an application to inference on buffer-stock saving," Departmental Working Papers 2204, Southern Methodist University, Department of Economics.
    12. Florian Gunsilius, 2018. "Point-identification in multivariate nonseparable triangular models," Papers 1806.09680, arXiv.org.
    13. repec:cep:stiecm:/2014/575 is not listed on IDEAS
    14. Karun Adusumilli & Taisuke Otsu, 2015. "Nonparametric instrumental regression with errors in variables," STICERD - Econometrics Paper Series /2015/585, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Heckman, James J. & Humphries, John Eric & Veramendi, Gregory, 2016. "Dynamic treatment effects," Journal of Econometrics, Elsevier, vol. 191(2), pages 276-292.
    16. Kasy, Maximilian, "undated". "Instrumental variables with unrestricted heterogeneity and continuous treatment - DON'T CITE! SEE ERRATUM BELOW," Working Paper 33257, Harvard University OpenScholar.
    17. Jinyong Hahn & Geert Ridder, 2011. "Conditional Moment Restrictions and Triangular Simultaneous Equations," The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 683-689, May.
    18. Santos, Andres, 2011. "Instrumental variable methods for recovering continuous linear functionals," Journal of Econometrics, Elsevier, vol. 161(2), pages 129-146, April.
    19. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1016-1053, October.
    20. Maximilian Kasy, 2014. "Instrumental Variables with Unrestricted Heterogeneity and Continuous Treatment," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(4), pages 1614-1636.
    21. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
    22. Halbert White & Karim Chalak, 2013. "Identification and Identification Failure for Treatment Effects Using Structural Systems," Econometric Reviews, Taylor & Francis Journals, vol. 32(3), pages 273-317, November.
    23. Halbert White & Karim Chalak, 2008. "Identifying Structural Effects in Nonseparable Systems Using Covariates," Boston College Working Papers in Economics 734, Boston College Department of Economics.
    24. Roy Allen & John Rehbeck, 2020. "Hicksian complementarity and perturbed utility models," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 8(2), pages 245-261, October.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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