Show simple item record

dc.contributor.authorChernozhukov, Victor V.
dc.contributor.authorRigobon, Roberto
dc.contributor.authorStoker, Thomas Martin
dc.date.accessioned2013-01-07T18:07:02Z
dc.date.available2013-01-07T18:07:02Z
dc.date.issued2010-12
dc.identifier.issn1759-7323
dc.identifier.issn1759-7331
dc.identifier.urihttp://hdl.handle.net/1721.1/75828
dc.description.abstractWe give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored, and selected; it is called a Tobin regressor. First, we show that the true parameter value is set-identified and characterize the identification sets. Second, we propose novel estimation and inference methods for this true value. These estimation and inference methods are of independent interest and apply to any problem possessing the sensitivity structure, where the true parameter value is point-identified conditional on some nuisance parameter values that are set-identified. By fixing the nuisance parameter value in some suitable region, we can proceed with regular point and interval estimation. Then we take the union over nuisance parameter values of the point and interval estimates to form the final set estimates and confidence set estimates. The initial point or interval estimates can be frequentist or Bayesian. The final set estimates are set-consistent for the true parameter value, and confidence set estimates have frequentist validity in the sense of covering this value with at least a prespecified probability in large samples. Our procedure may be viewed as a formalization of the sensitivity analysis in the sense of Leamer (1985). We apply our identification, estimation, and inference procedures to study the effects of changes in housing wealth on household consumption. Our set estimates fall in plausible ranges, significantly above low ordinary least squares estimates and below high instrumental variables estimates that do not account for the Tobin regressor structure.en_US
dc.language.isoen_US
dc.publisherThe Econometric Societyen_US
dc.relation.isversionofhttp://dx.doi.org/ 10.3982/QE1en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alike 3.0en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/en_US
dc.sourceMIT web domainen_US
dc.titleSet identification and sensitivity analysis with Tobin regressorsen_US
dc.typeArticleen_US
dc.identifier.citationChernozhukov, Victor, Roberto Rigobon, and Thomas M. Stoker. “Set Identification and Sensitivity Analysis with Tobin Regressors.” Quantitative Economics 1.2 (2010): 255–277.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Department of Economicsen_US
dc.contributor.departmentSloan School of Managementen_US
dc.contributor.mitauthorChernozhukov, Victor V.
dc.contributor.mitauthorRigobon, Roberto
dc.contributor.mitauthorStoker, Thomas Martin
dc.relation.journalQuantitative Economicsen_US
dc.eprint.versionAuthor's final manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/PeerRevieweden_US
dspace.orderedauthorsChernozhukov, Victor; Rigobon, Roberto; Stoker, Thomas M.en
dc.identifier.orcidhttps://orcid.org/0000-0002-9054-3804
dc.identifier.orcidhttps://orcid.org/0000-0003-0395-7177
dc.identifier.orcidhttps://orcid.org/0000-0002-3250-6714
mit.licenseOPEN_ACCESS_POLICYen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record