Characterizations of identified sets delivered by structural econometric models

Andrew Chesher and Adam Rosen

No CWP44/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper develops characterizations of identifi?ed sets of structures and structural features for complete and incomplete models involving continuous or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can arise when there are multiple sources of heterogeneity, censored or discrete endogenous variables, or inequality restrictions on functions of observed and unobserved variables. The models generalize the class of incomplete instrumental variable (IV) models in which unobserved variables are single-valued functions of observed variables. Thus the models are referred to as Generalized IV (GIV) models, but there are important cases in which instrumental variable restrictions play no signifi?cant role. Building on a de?finition of observational equivalence for incomplete models the development uses results from random set theory which guarantee that the characterizations deliver sharp bounds, thereby dispensing with the need for case-by-case proofs of sharpness. The use of random sets de?ned on the space of unobserved variables allows identi?cation analysis under mean and quantile independence restrictions on the distributions of unobserved variables conditional on exogenous variables as well as under a full independence restriction. The results are used to develop sharp bounds on the distribution of valuations in an incomplete model of English auctions, improving on the pointwise bounds available till now. Application of many of the results of the paper requires no familiarity with random set theory.

Keywords: instrumental variables; endogeneity; excess heterogeneity; limited information; par- tial identfii?cation; random sets; incomplete models; English auctions. (search for similar items in EconPapers)
JEL-codes: C10 C14 C24 C26 (search for similar items in EconPapers)
Date: 2016-08-26
New Economics Papers: this item is included in nep-dcm
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Related works:
Working Paper: Characterizations of identified sets delivered by structural econometric models (2016)
Working Paper: Characterizations of identified sets delivered by structural econometric models (2015)
Working Paper: Characterizations of identified sets delivered by structural econometric models (2015)
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