Identification of Nonparametric Simultaneous Equations Models With a Residual Index Structure

Steven Berry () and Philip Haile

Econometrica, 2018, vol. 86, issue 1, 289-315

Abstract: We present new identification results for a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine traditional exclusion restrictions with a requirement that each structural error enter through a “residual index.†Our identification results are constructive and encompass a range of special cases with varying demands on the exogenous variation provided by instruments and the shape of the joint density of the structural errors. The most important results demonstrate identification when instruments have only limited variation. Even when instruments vary only over a small open ball, relatively mild conditions on the joint density suffice. We also show that the primary sufficient conditions for identification are verifiable and that the maintained hypotheses of the model are falsifiable.

Date: 2018
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Citations: View citations in EconPapers (8)

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https://doi.org/10.3982/ECTA13575

Related works:
Working Paper: Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure (2016)
Working Paper: Identification of nonparametric simultaneous equations models with a residual index structure (2015)
Working Paper: Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure (2015)
Working Paper: Identification of nonparametric simultaneous equations models with a residual index structure (2015)
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