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
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Englisch
- Bibliographic citation
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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
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Escanciano, Juan Carlos
Jacho-Chávez, David
Lewbel, Arthur
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
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2016
- DOI
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doi:10.3982/QE328
- Handle
- Last update
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2025-03-10T11:43:11+0100
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
- Artikel
Associated
- Escanciano, Juan Carlos
- Jacho-Chávez, David
- Lewbel, Arthur
- The Econometric Society
Time of origin
- 2016