Conditions for the existence of control functions in nonseparable simultaneous equations models

Richard Blundell () and Rosa Matzkin

No CWP28/10, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: The control function approach (Heckman and Robb (1985)) in a system of linear simultaneous equations provides a convenient procedure to estimate one of the functions in the system using reduced form residuals from the other functions as additional regressors. The conditions on the structural system under which this procedure can be used in nonlinear and nonparametric simultaneous equations has thus far been unknown. In this note, we define a new property of functions called control function separability and show it provides a complete characterization of the structural systems of simultaneous equations in which the control function procedure is valid.

Date: 2010-09-28
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (14)

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