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Identification in a class of nonparametric simultaneous equation models with sample selection (in Russian)

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  • Evgeniy Ozhegov

    (Higher School of Economics, Perm, Russia)

Abstract

We consider identification of the nonparametric simultaneous equation model with the presence of sample selection. For the proposed model we introduce necessary conditions for its identification if excluded variables for selection and outcome equations are available. Our approach extends the well known class of nonparametric two-step identification procedures for the case of non-triangular simultaneous equations.

Suggested Citation

  • Evgeniy Ozhegov, 2015. "Identification in a class of nonparametric simultaneous equation models with sample selection (in Russian)," Quantile, Quantile, issue 13, pages 15-23, May.
    • Handle: RePEc:qnt:quantl:y:2015:i:13:p:15-23
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    References listed on IDEAS

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    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
    2. Reuben Gronau, 1973. "Wage Comparisons -A Selectivity Bias," NBER Working Papers 0013, National Bureau of Economic Research, Inc.
    3. Michael LaCour-Little, 2007. "The Home Purchase Mortgage Preferences of Low- and Moderate-Income Households," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(3), pages 265-290, September.
    4. Matzkin, Rosa L., 2012. "Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 166(1), pages 106-115.
    5. Abghari, Mohammad Hosein, 1985. "The Saudi financial system/in the context of Western and Islamic finance : Adnan M. Abdeen and Dale N. Shook, (John Wiley & Sons, 1984) pp. 287, $34.95," Journal of Banking & Finance, Elsevier, vol. 9(4), pages 597-600, December.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    7. Brent W. Ambrose & Michael LaCour‐Little & Anthony B. Sanders, 2004. "The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(4), pages 541-569, December.
    8. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-694, July.
    9. Heckman, James J. & Robb, Richard Jr., 1985. "Alternative methods for evaluating the impact of interventions : An overview," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 239-267.
    10. Stephen L Ross, 2000. "Mortgage Lending, Sample Selection and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(4), pages 581-621.
    11. Whitney K. Newey, 2013. "Nonparametric Instrumental Variables Estimation," American Economic Review, American Economic Association, vol. 103(3), pages 550-556, May.
    12. Rosa L. Matzkin, 2015. "Estimation of Nonparametric Models With Simultaneity," Econometrica, Econometric Society, vol. 83, pages 1-66, January.
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    Cited by:

    1. Lozinskaia Agata & Ozhegov Evgeniy, 2016. "Key Determinants of Demand, Credit Underwriting, and Performance on Government-Insured Mortgage Loans in Russia," EERC Working Paper Series 16/03e, EERC Research Network, Russia and CIS.
    2. Ozhegov, Evgeniy, 2017. "Estimating the demand function for differentiated product with endogenous characteristics and heterogeneity of preferences: The case of mortgage loans," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 93-115.

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    More about this item

    Keywords

    nonparametrics; sample selection; simultaneous equations; control function;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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