Identification and Estimation of Triangular Simultaneous Equations Models without Additivity

Whitney Newey and Guido Imbens ()

No 594, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given the instruments. We allow for a structural disturbance of arbitrary, unknown dimension while identifying interesting structural effects, such as quantile and average effects. We consider a two-step approach to estimation. We find that the convergence rate for the second-step structural estimator depends on the strength of the instrument.

Keywords: nonparametric endogeneity; control function; identification (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-08-11
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Working Paper: Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:ecm:nasm04:594

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