A discontinuity test for identification in triangular nonseparable models

Carolina Caetano, Christoph Rothe and Neşe Yıldız

Journal of Econometrics, 2016, vol. 193, issue 1, 113-122

Abstract: This paper presents a test for the validity of control variable approaches to identification in triangular nonseparable models. Assumptions commonly imposed to justify such methods include full independence of instruments and disturbances and existence of a reduced form that is strictly monotonic in a scalar disturbance. We show that if the data has a particular structure, namely that the distribution of the endogenous variable has a mass point at the lower (or upper) boundary of its support, validity of the control variable approach implies a continuity condition on an identified function, which can be tested empirically.

Keywords: Nonseparable model; Triangular systems; Control variable; Instrument validity; Nonparametric identification (search for similar items in EconPapers)
JEL-codes: C12 C14 C31 C36 C52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:193:y:2016:i:1:p:113-122

DOI: 10.1016/j.jeconom.2016.01.007

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