Quantile driven identification of structural derivatives

Andrew Chesher

No 08/01, CeMMAP working papers from Institute for Fiscal Studies

Abstract: Conditions are derived under which there is local nonparametric identification of derivatives of structural equations in nonlinear triangular simultaneous equations systems. The attack on this problem is via conditional quantile functions and exploits local quantile independence conditions. The identification conditions include local analogues of the order and rank conditions familiar in the analysis of linear simultaneous equations models. The objects whose identification is sought are derivatives of structural equations at a point defined by values of covariates and quantiles of the distributions of the stochastic drivers of the system. These objects convey information about the distribution of the exogenous impact of variables potentially endogenous in the data generating process. The identification conditions point directly to analogue estimators of derivatives of structural functions which are functionals of quantile regression function estimators.

Date: 2001-12-01
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Working Paper: Quantile driven identification of structural derivatives (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:08/01

DOI: 10.1920/wp.cem.2002.0801

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