Identification and shape restrictions in nonparametric instrumental variables estimation

Joachim Freyberger and Joel L. Horowitz

Journal of Econometrics, 2015, vol. 189, issue 1, 41-53

Abstract: This paper is concerned with inference about an unidentified linear functional, L(g), where g satisfies Y=g(X)+U; E(U|W)=0. In much applied research, X and W are discrete, and W has fewer points of support than X. Consequently, L(g) is not identified nonparametrically and can have any value in (−∞,∞). This paper uses shape restrictions, such as monotonicity or convexity, to achieve interval identification of L(g). The paper shows that under shape restrictions, L(g) is contained in an interval whose bounds can be obtained by solving linear programming problems. Inference about L(g) can be carried out by using the bootstrap. An empirical application illustrates the usefulness of the method.

Keywords: Partial identification; Linear programming; Bootstrap (search for similar items in EconPapers)
JEL-codes: C13 C14 C26 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:1:p:41-53

DOI: 10.1016/j.jeconom.2015.06.020

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