Artikel
Semiparametric estimation of structural functions in nonseparable triangular models
Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modeling of complex structural relationships. However, they are not commonly used in practice due to the need for exogenous variables with large support for identification, the curse of dimensionality in estimation, and the lack of inferential tools. This paper introduces two classes of semiparametric nonseparable triangular models that address these limitations. They are based on distribution and quantile regression modeling of the reduced form conditional distributions of the endogenous variables. We show that average, distribution, and quantile structural functions are identified in these systems through a control function approach that does not require a large support condition. We propose a computationally attractive three-stage procedure to estimate the structural functions where the first two stages consist of quantile or distribution regressions. We provide asymptotic theory and uniform inference methods for each stage. In particular, we derive functional central limit theorems and bootstrap functional central limit theorems for the distribution regression estimators of the structural functions. These results establish the validity of the bootstrap for three-stage estimators of structural functions, and lead to simple inference algorithms. We illustrate the implementation and applicability of all our methods with numerical simulations and an empirical application to demand analysis.
- Sprache
-
Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 2 ; Pages: 503-533 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Model Construction and Estimation
- Thema
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Structural functions
nonseparable models
control function
quantile and distribution regression
semiparametric estimation
uniform inference
- Ereignis
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Geistige Schöpfung
- (wer)
-
Chernozhukov, Victor
Fernández-Val, Iván
Newey, Whitney K.
Stouli, Sami
Vella, Francis
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2020
- DOI
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doi:10.3982/QE1239
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Chernozhukov, Victor
- Fernández-Val, Iván
- Newey, Whitney K.
- Stouli, Sami
- Vella, Francis
- The Econometric Society
Entstanden
- 2020
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