Arbeitspapier
The triangular model with random coefficients
The triangular model is a very popular way to capture endogeneity. In this model, an outcome is determined by an endogenous regressor, which in turn is caused by an instrument in a first stage. In this paper, we study the triangular model with random coefficients and exogenous regressors in both equations. We establish a profound non-identification result: the joint distribution of the random coefficients is not identified, implying that counterfactual outcomes are also not identified in general. This result continues to hold, if we confine ourselves to the joint distribution of coefficients in the outcome equation or any marginal, except the one on the endogenous regressor. Identification continues to fail, even if we focus on means of random coefficients (implying that IV is generally biased), or let the instrument enter the first stage in a monotonic fashion. Based on this insight, we derive bounds on the joint distribution of random parameters, and suggest an additional restriction that allows to point identify the distribution of random coefficients in the outcome equation. We extend this framework to cover the case where the regressors and instruments have limited support, and analyze semi- and nonparametric sample counterpart estimators in finite and large samples. Finally, we give an application of the framework to consumer demand.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP33/15
- Classification
-
Wirtschaft
- Subject
-
Random Coefficients
Endogeneity
Nonparametric
Identification
Radon Transform
Demand
- Event
-
Geistige Schöpfung
- (who)
-
Hoderlein, Stefan
Holzmann, Hajo
Meister, Alexander
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2015
- DOI
-
doi:10.1920/wp.cem.2015.3315
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hoderlein, Stefan
- Holzmann, Hajo
- Meister, Alexander
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2015
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