Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
نویسندگان
چکیده
This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances independent and 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 given. JEL Classification: C21, C23, C31, C33
منابع مشابه
Instrumental Variables Estimation of Nonparametric Models with Discrete Endogenous Regressors
This paper presents new instrumental variables estimators for nonparametric models with discrete endogenous regressors. The model speci cation is su ciently general to include structural models, triangular simultaneous equations and certain models of measurement error. Restricting the analysis to discrete endogenous regressors is an integral component of the analysis since a similar model with ...
متن کاملNonparametric Estimation of Triangular Simultaneous Equations Models under Weak Identification
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then, nonparametric weak instruments are defined as a sequence of reduced-form functions where the associated ran...
متن کاملRegional model presentation for peak discharge estimation in ungauged drainage basin using geomorphologic, Synyder, SCS and triangular models (case study: Kan drainage basin)
With regard to the importance of instantaneous peak discharge estimation for watershed management study, and due to the lack of and unqualified climatic and hydrologic data for estimation and measurement in countries such as Iran, researchers were obliged to establish a link between constant parameters (geomorphologic) and variables (hydrologic) to present models with minimum dependence on clim...
متن کاملA Program for the Identification of Structural VAR-Models
This paper presents a menu-driven RATS-program which allows to identify structural shocks in vector-autoregressive (VAR) models. Identification is achieved by imposing short-run or long-run restrictions (or a combination of both) on the structural form of a model. The only requirement is that the matrix of restrictions consisting of rows of the restricted matrices of short-run and long-run effe...
متن کاملIdentification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation
Necessary and sufficient conditions for Identlflability with linear coefficient and covarlance restrictions are developed. In practical terms, covarlance restrictions aid identification if and only if they imply either that (1) a set of endogenous variables is predetermined in a particular equation (generalizing the notion of recursiveness) or (11) an identifiable residual is predetermined in a...
متن کامل