Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
Guido Imbens () and
Econometrica, 2009, vol. 77, issue 5, 1481-1512
This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form that is strictly monotonic in a scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable. Also, for any control variable, identification results are given for quantile, average, and policy effects. Bounds are given when a common support assumption is not satisfied. Estimators of identified objects and bounds are provided, and a demand analysis empirical example is given. Copyright 2009 The Econometric Society.
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Working Paper: Identification and Estimation of Triangular Simultaneous Equations Models without Additivity (2004)
Working Paper: Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity (2002)
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