EconPapers    
Economics at your fingertips  
 

Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models

Victor Chernozhukov, Ivan Fernandez-Val (), Whitney Newey, Sami Stouli and Francis Vella

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: This paper introduces two classes of semiparametric triangular systems with nonadditively separable unobserved heterogeneity. They are based on distribution and quantile regression modeling of the reduced-form conditional distributions of the endogenous variables. We show that these models are flexible and identify the average, distribution and quantile structural functions using a control function approach that does not require a large support condition. We propose a computationally attractive three-stage procedure to estimate the structural functions where the first two stages consist of quantile or distribution regressions. We provide asymptotic theory and uniform inference methods for each stage. In particular, we derive functional central limit theorems and bootstrap functional central limit theorems for the distribution regression estimators of the structural functions. We illustrate the implementation and applicability of our methods with numerical simulations and an empirical application to demand analysis.

Keywords: Structural functions; nonseparable models; control function; quantile and distribution regression; semiparametric estimation; uniform inference. (search for similar items in EconPapers)
Pages: 45 pages.
Date: 2017-11-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.bristol.ac.uk/efm/media/workingpapers/w ... pdffiles/dp17690.pdf (application/pdf)

Related works:
Journal Article: Semiparametric estimation of structural functions in nonseparable triangular models (2020) Downloads
Working Paper: Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models (2019) Downloads
Working Paper: Semiparametric estimation of structural functions in nonseparable triangular models (2017) Downloads
Working Paper: Semiparametric estimation of structural functions in nonseparable triangular models (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:17/690

Access Statistics for this paper

More papers in Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK
Bibliographic data for series maintained by Vicky Jackson ().

 
Page updated 2025-03-30
Handle: RePEc:bri:uobdis:17/690