Semiparametric Distribution Regression with Instruments and Monotonicity

Dominik Wied

Papers from arXiv.org

Abstract: This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators. We discuss the causal interpretation of the estimators and two methods (monotone rearrangement and isotonic regression) to ensure a monotonically increasing distribution function. Asymptotic properties and simulation evidence are provided. An application to wage equations reveals statistically significant and heterogeneous differences to the inconsistent OLS-based estimator.

Date: 2022-12
New Economics Papers: this item is included in nep-ecm
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http://arxiv.org/pdf/2212.03704 Latest version (application/pdf)

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Journal Article: Semiparametric distribution regression with instruments and monotonicity (2024)
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