Informational Content of Factor Structures in Simultaneous Binary Response Models
Shakeeb Khan (),
Arnaud Maurel () and
Additional contact information
Shakeeb Khan: Boston College, Postal: Dept. of Economics, Boston College, Chestnut Hill, MA 02467 USA
Yichong Zhang: Singapore Management University
No 985, Boston College Working Papers in Economics from Boston College Department of Economics
We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their identifying power in a bivariate system often employed in the treatment effects literature. Our main findings are that imposing a factor structure yields point identification of parameters of interest, such as the coefficient associated with the endogenous regressor in the outcome equation, under weaker assumptions than usually required in these systems. In particular, we show that an exclusion restriction, requiring an explanatory variable in the outcome equation to be excluded from the treatment equation, is no longer necessary for identification. Under such settings, we propose a rank estimator for both the factor loading and the causal effect parameter that are root-n consistent and asymptotically normal. The estimator’s finite sample properties are evaluated through a simulation study. We also establish identification results in models with more general factor structures, that are characterized by nonparametric functional forms and multiple idiosyncratic shocks.
Keywords: Factor Structures; Discrete Choice; Causal Effects (search for similar items in EconPapers)
JEL-codes: C14 C31 C35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp985.pdf main text (application/pdf)
Working Paper: Informational Content of Factor Structures in Simultaneous Binary Response Models (2019)
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:boc:bocoec:985
Access Statistics for this paper
More papers in Boston College Working Papers in Economics from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().