Arbeitspapier
Random coefficients on endogenous variables in simultaneous equations models
This paper considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations models are used to study social interactions, strategic interactions between firms, and market equilibrium. Random coefficient models allow for heterogeneous marginal effects. For two-equation systems, I give two sets of sufficient conditions for point identification of the coefficients' marginal distributions conditional on exogenous covariates. The first requires full support instruments, but allows for nearly arbitrary distributions of unobservables. The second allows for continuous instruments without full support, but places tail restrictions on the distributions of unobservables. I show that a nonparametric sieve maximum likelihood estimator for these distributions is consistent. I apply my results to the Add Health data to analyze the social determinants of obesity.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP01/14
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Masten, Matthew
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2014
- DOI
-
doi:10.1920/wp.cem.2013.0114
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Masten, Matthew
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2014
Ähnliche Objekte (12)
Random coefficients on endogenous variables in simultaneous equations models
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregate demand
Difference equations with random coefficients : = Raznostnye uravnenija so slučajnymi koėfficientami
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregated demand models
Simultaneous-Equations Models
Simultaneous-equations models
The triangular model with random coefficients
Équations différentielles à coefficients polynomiaux
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Sur les Équations a Coefficients Rationnels.
Panel data estimation for correlated random coefficients models
Random coefficients on endogenous variables in simultaneous equations models
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregate demand
Difference equations with random coefficients : = Raznostnye uravnenija so slučajnymi koėfficientami
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregated demand models
Simultaneous-Equations Models
Simultaneous-equations models
The triangular model with random coefficients
Équations différentielles à coefficients polynomiaux
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Sur les Équations a Coefficients Rationnels.
Panel data estimation for correlated random coefficients models
Random coefficients on endogenous variables in simultaneous equations models
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregate demand
Difference equations with random coefficients : = Raznostnye uravnenija so slučajnymi koėfficientami
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregated demand models
Simultaneous-Equations Models
Simultaneous-equations models
The triangular model with random coefficients
Équations différentielles à coefficients polynomiaux
Variance estimation in a random coefficients model
Variance Estimation in a Random Coefficients Model
Sur les Équations a Coefficients Rationnels.