کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097357 | 1376584 | 2007 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Instrumental variable estimation of nonseparable models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Instrumental variable estimation of nonseparable models Instrumental variable estimation of nonseparable models](/preview/png/5097357.png)
چکیده انگلیسی
There are many environments where knowledge of a structural relationship is required to answer questions of interest. Also, nonseparability of a structural disturbance is a key feature of many models. Here, we consider nonparametric identification and estimation of a model that is monotonic in a nonseparable scalar disturbance, which disturbance is independent of instruments. This model leads to conditional quantile restrictions. We give local identification conditions for the structural equations from those quantile restrictions. We find that a modified completeness condition is sufficient for local identification. We also consider estimation via a nonparametric minimum distance estimator. The estimator minimizes the sum of squares of predicted values from a nonparametric regression of the quantile residual on the instruments. We show consistency of this estimator.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 139, Issue 1, July 2007, Pages 4-14
Journal: Journal of Econometrics - Volume 139, Issue 1, July 2007, Pages 4-14
نویسندگان
Victor Chernozhukov, Guido W. Imbens, Whitney K. Newey,