Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
Author(s)
Imbens, Guido W.; Newey, Whitney K.
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Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
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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.
Date issued
2009-10Department
Massachusetts Institute of Technology. Department of EconomicsJournal
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
ISSN
0012-9682