Identification and estimation of semiparametric two‐step models
Juan Carlos Escanciano (),
David Jacho‐Chávez and
Arthur Lewbel ()
Authors registered in the RePEc Author Service: David Tomás Jacho-Chávez ()
Quantitative Economics, 2016, vol. 7, issue 2, 561-589
Let H 0 (X) be a function that can be nonparametrically estimated. Suppose E [Y&7CX]=F 0 [X⊤β 0 , H 0 (X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector β 0 and unknown function F 0 are generally point identified without exclusion restrictions or instruments, in contrast to the usual assumption that identification without instruments requires fully specified functional forms. We propose an estimator with asymptotic properties allowing for data dependent bandwidths and random trimming. A Monte Carlo experiment and an empirical application to migration decisions are also included.
References: Add references at CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:7:y:2016:i:2:p:561-589
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().