Identification and Estimation of Triangular Simultaneous Equations Models without Additivity
Whitney Newey and
Guido Imbens ()
No 594, Econometric Society 2004 North American Summer Meetings from Econometric Society
This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given the instruments. We allow for a structural disturbance of arbitrary, unknown dimension while identifying interesting structural effects, such as quantile and average effects. We consider a two-step approach to estimation. We find that the convergence rate for the second-step structural estimator depends on the strength of the instrument.
Keywords: nonparametric endogeneity; control function; identification (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
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Journal Article: Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity (2009)
Working Paper: Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nasm04:594
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