Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity

No 285, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices requires objective functions that are non-additive in observed and unobserved components. We formulate several independence and monotonicity conditions that are sufficient for identification of a number of objects of interest, including the average conditional response, the average structural function, as well as the full structural response function. For inference we propose a two-step series estimator. The first step consists of estimating the conditional distribution of the endogenous regressor given the instrument. In the second step the estimated conditional distribution function is used as a regressor in a nonlinear control function approach. We establish rates of convergence, asymptotic normality, and give a consistent asymptotic variance estimator.

Date: 2002-11
New Economics Papers: this item is included in nep-ecm
Note: TWP
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Citations: View citations in EconPapers (29)

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Related works:
Journal Article: Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity (2009)
Working Paper: Identification and Estimation of Triangular Simultaneous Equations Models without Additivity (2004)
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