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.

Language
Englisch

Bibliographic citation
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 2 ; Pages: 561-589 ; New Haven, CT: The Econometric Society

Classification
Wirtschaft

Event
Geistige Schöpfung
(who)
Escanciano, Juan Carlos
Jacho-Chávez, David
Lewbel, Arthur
Event
Veröffentlichung
(who)
The Econometric Society
(where)
New Haven, CT
(when)
2016

DOI
doi:10.3982/QE328
Handle
Last update
2025-03-10T11:43:11+0100

Data provider

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Object type

  • Artikel

Associated

  • Escanciano, Juan Carlos
  • Jacho-Chávez, David
  • Lewbel, Arthur
  • The Econometric Society

Time of origin

  • 2016

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