Estimating Derivatives in Nonseparable Models With Limited Dependent Variables

Joseph G. Altonji, Hidehiko Ichimura, Taisuke Otsu

研究成果: Comment/debate

9 引用 (Scopus)

抄録

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, and X is independent of the unobservables. We treat models in which Y is censored from above, below, or 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 x on the censored population. We then correct the derivative for the effects of the selection bias. We discuss nonparametric and semiparametric estimators for the derivative. We also discuss the cases of discrete regressors and of endogenous regressors in both cross section and panel data contexts.

元の言語English
ページ(範囲)1701-1719
ページ数19
ジャーナルEconometrica
80
発行部数4
DOI
出版物ステータスPublished - 2012 7 1
外部発表Yes

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Derivatives
Nonseparable models
Limited dependent variables
Semiparametric estimators
Panel data
Endogenous regressors
Cross section
Selection bias

ASJC Scopus subject areas

  • Economics and Econometrics

これを引用

Estimating Derivatives in Nonseparable Models With Limited Dependent Variables. / Altonji, Joseph G.; Ichimura, Hidehiko; Otsu, Taisuke.

:: Econometrica, 巻 80, 番号 4, 01.07.2012, p. 1701-1719.

研究成果: Comment/debate

Altonji, Joseph G. ; Ichimura, Hidehiko ; Otsu, Taisuke. / Estimating Derivatives in Nonseparable Models With Limited Dependent Variables. :: Econometrica. 2012 ; 巻 80, 番号 4. pp. 1701-1719.
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