Artikel
Identification and estimation of semiparametric two-step models
Let H0(X) be a function that can be nonparametrically estimated. Suppose E [Y&7CX]=F0[X⊤β0, H0(X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector β0 and unknown function F0 are generally point identified without exclusion restrictions or instruments, in contrast to the usual assumption that identification without instruments requires fully specified functional forms. We propose an estimator with asymptotic properties allowing for data dependent bandwidths and random trimming. A Monte Carlo experiment and an empirical application to migration decisions are also included.
- Sprache
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Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 2 ; Pages: 561-589 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
- Ereignis
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Geistige Schöpfung
- (wer)
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Escanciano, Juan Carlos
Jacho-Chávez, David
Lewbel, Arthur
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
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New Haven, CT
- (wann)
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2016
- DOI
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doi:10.3982/QE328
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:22 MESZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Escanciano, Juan Carlos
- Jacho-Chávez, David
- Lewbel, Arthur
- The Econometric Society
Entstanden
- 2016
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