Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
Guido W. Imbens, Whitney K. Newey
Econometrica · 2009 · Volume 77 · Issue 5
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.
Keywords
Nonseparable models, control variables, quantile effects, bounds, average derivative, policy effect, nonparametric estimation, demand analysis
Enable JavaScript for citation tools and additional paper interactions.