GENERALIZATION OF A RESULT ON

Francesca Molinari and Marcin Peski

Econometric Theory, 2006, vol. 22, issue 01, pages 159-163

Abstract: This paper is concerned with the problem of combining a data set that identifies the conditional distribution P(y x) with one that identifies the conditional distribution P(z x) to identify the regressions E(y x, ) E(y x,z = j),j Z when the conditional distribution P(y x,z) is unknown. Cross and Manski (2002, Econometrica 70, 357 368) studied this problem and showed that the identification region of E(y x, ) can be precisely calculated when y has finite support. Here we generalize the result of Cross and Manski, showing that the identification region can be precisely calculated also in the case in which y has infinite support.We are grateful to the co-editor Paolo Paruolo, an anonymous referee, Maria Goltsman, Nick Kiefer, Tymon Tatur, and Tim Vogelsang for useful comments. Any remaining errors are our own responsibility.Financial support from Northwestern University s Dissertation Year Fellowship is gratefully acknowledged.

Date: 2006

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