Econometrica: May, 2015, Volume 83, Issue 3
Identification of Nonseparable Triangular Models With Discrete Instruments
X. D'Haultfœuille and P. Février
We study the identification through instruments of a nonseparable function that relates a continuous outcome to a continuous endogenous variable. Using group and dynamical systems theories, we show that full identification can be achieved under strong exogeneity of the instrument and a dual monotonicity condition, even if the instrument is discrete. When identified, the model is also testable. Our results therefore highlight the identifying power of strong exogeneity when combined with monotonicity restrictions.
Supplement to "Identification of Nonseparable Triangular Models with Discrete Instruments"
This supplement discusses the link with group theory and the freeness and nonfreeness properties. It then discusses the extension to a multivariate X. The third section gathers all proofs.