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Identification in a Class of Nonparametric Simultaneous Equations Models

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Abstract

We consider identification in a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement that each structural error enter through a "residual index" function. We provide constructive proofs of identification under several sets of conditions, demonstrating some of the available tradeoffs between conditions on the support of the instruments, restrictions on the joint distribution of the structural errors, and restrictions on the form of the residual index function.

Suggested Citation

  • Steven T. Berry & Philip A. Haile, 2011. "Identification in a Class of Nonparametric Simultaneous Equations Models," Cowles Foundation Discussion Papers 1787R2, Cowles Foundation for Research in Economics, Yale University, revised Nov 2013.
    • Handle: RePEc:cwl:cwldpp:1787r2
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    6. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
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    9. C. Lanier Benkard & Steven Berry, 2006. "On the Nonparametric Identification of Nonlinear Simultaneous Equations Models: Comment on Brown (1983) and Roehrig (1988)," Econometrica, Econometric Society, vol. 74(5), pages 1429-1440, September.
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    11. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
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    15. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-137, January.
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    Cited by:

    1. Florian Gunsilius, 2018. "Point-identification in multivariate nonseparable triangular models," Papers 1806.09680, arXiv.org.
    2. Giovanni Forchini, 2014. "A General Result on Observational Equivalence in a Class of Nonparametric Structural Equations Models," School of Economics Discussion Papers 0114, School of Economics, University of Surrey.

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    More about this item

    Keywords

    Simultaneous equations; Nonseparable models; Nonparametric identification;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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