Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
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tri09pub.pdf
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Author(s)
Imbens, Guido W.
Newey, Whitney K.
Alternative Title
Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
Date Issued
October 2009
Journal
Econometrica : journal of the Econometric Society
Publisher
Econometric Society
Citation
Imbens, Guido W., and Whitney K. Newey. “Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity.” Econometrica 77.5 (2009): 1481-1512.
Version
Author's final manuscript
Abstract
This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form that is strictly monotonic in a scalar disturbance. Here it is shown that the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable. Also, for any control variable, identification results are given for quantile, average, and policy effects. Bounds are given when a common support assumption is not satisfied. Estimators of identified objects and bounds are provided, and a demand analysis empirical example is given.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
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DOI of Published Version
http://dx.doi.org/10.3982/ECTA7108
