| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0285 |
| 来源ID | Technical Working Paper 0285 |
| Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity | |
| Guido W. Imbens; Whitney K. Newey | |
| 发表日期 | 2002-11-25 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/t0285 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566961 |
| 推荐引用方式 GB/T 7714 | Guido W. Imbens,Whitney K. Newey. Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0285.pdf（420KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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