Arbeitspapier
Estimating derivatives in nonseparable models with limited dependent variables
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea is to first estimate the derivative of the conditional mean of Y given X at x with respect to x on the uncensored sample without correcting for the effect of changes in x induced on the censored population. We then correct the derivative for the effects of the selection bias. We propose nonparametric and semiparametric estimators for the derivative. As extensions, we discuss the cases of discrete regressors, measurement error in dependent variables, and endogenous regressors in a cross section and panel data context.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP20/08
- Klassifikation
-
Wirtschaft
- Thema
-
Schätztheorie
Tobit-Modell
Bias
Nichtparametrisches Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Altonji, Joseph
Ichimura, Hidehiko
Otsu, Taisuke
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2008
- DOI
-
doi:10.1920/wp.cem.2008.2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Altonji, Joseph
- Ichimura, Hidehiko
- Otsu, Taisuke
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2008
Ähnliche Objekte (12)
A Detailed Decomposition for Limited Dependent Variable Models
Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models
Robust estimation in nonlinear regression and limited dependent variable models
Robust estimation in nonlinear regression and limited dependent variable models
Methods of moments and semiparametric econometrics for limited dependent variable models
Estimating the population mean using a complex sampling design dependent on an auxiliary variable
Estimating the population mean using a continuous sampling design dependent on an auxiliary variable
Models of truncation, sample selection, and limited dependent variables: Suggestions for a common language
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Estimating nonseparable models with mismeasured endogenous variables
Analyzing panel data with non-metric dependent variables : Probit models, generalized estimating equations, missing data and absorbing states
Analyzing panel data with non-metric dependent variables: Probit models, generalized estimating equations, missing data and absorbing states
A Detailed Decomposition for Limited Dependent Variable Models
Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models
Robust estimation in nonlinear regression and limited dependent variable models
Robust estimation in nonlinear regression and limited dependent variable models
Methods of moments and semiparametric econometrics for limited dependent variable models
Estimating the population mean using a complex sampling design dependent on an auxiliary variable
Estimating the population mean using a continuous sampling design dependent on an auxiliary variable
Models of truncation, sample selection, and limited dependent variables: Suggestions for a common language
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Estimating nonseparable models with mismeasured endogenous variables
Analyzing panel data with non-metric dependent variables : Probit models, generalized estimating equations, missing data and absorbing states
Analyzing panel data with non-metric dependent variables: Probit models, generalized estimating equations, missing data and absorbing states
A Detailed Decomposition for Limited Dependent Variable Models
Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models
Robust estimation in nonlinear regression and limited dependent variable models
Robust estimation in nonlinear regression and limited dependent variable models
Methods of moments and semiparametric econometrics for limited dependent variable models
Estimating the population mean using a complex sampling design dependent on an auxiliary variable
Estimating the population mean using a continuous sampling design dependent on an auxiliary variable
Models of truncation, sample selection, and limited dependent variables: Suggestions for a common language
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Estimating nonseparable models with mismeasured endogenous variables
Analyzing panel data with non-metric dependent variables : Probit models, generalized estimating equations, missing data and absorbing states