Partial independence in nonseparable models

Matthew Masten and Alexandre Poirier

No 26/16, CeMMAP working papers from Institute for Fiscal Studies

Abstract: We analyze identication of nonseparable models under three kinds of exogeneity assumptions weaker than full statistical independence. The first is based on quantile independence. Selection on unobservables drives deviations from full independence. We show that such deviations based on quantile independence require non-monotonic and oscillatory propensity scores. Our second and third approaches are based on a distance-from-independence metric, using either a conditional cdf or a propensity score. Under all three approaches we obtain simple analytical characterizations of identied sets for various parameters of interest. We do this in three models: the exogenous regressor model of Matzkin (2003), the instrumental variable model of Chernozhukov and Hansen (2005), and the binary choice model with nonparametric latent utility of Matzkin (1992).

Date: 2016-06-21
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Citations: View citations in EconPapers (1)

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Working Paper: Partial independence in nonseparable models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:26/16

DOI: 10.1920/wp.cem.2016.2616

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