Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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IDENTIFICATION AND ESTIMATION OF TRIANGULAR SIMULTANEOUS EQUATIONS MODELS WITHOUT ADDITIVITY


Category: Econometrics
ESTIMATION III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.1
Session Chair(s): Laetitia Malavolti, GREMAQ - Université de Toulouse I, FRANCE

Presenter(s): Newey, Whitney

Co-Author(s): Imbens, Guido

Keyword(s): Control functions, Instrumental variables, Nonlinear models

JEL(s): C14, C20

Abstract:

This paper is about a nonparametric structural model that is not additive in disturbances. We use independence and monotonicity conditions for identification. The average structural function is obtained from a nonparametaric regression on the endogenous variables and a control function which is the conditional distribution function for the regressors given the instruments. A two step series estimator is used, the first step estimating the conditional distribution and the second using this estimator as a regressor. Convergence rates are given.


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Paper Reference Number: 1674

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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