Estimation of nonseparable models with censored dependent variables and endogenous regressors

Luke Taylor, Taisuke Otsu

研究成果: Article

抄録

In this article we develop a nonparametric estimator for the local average response of a censored dependent variable to endogenous regressors in a nonseparable model where the unobservable error term is not restricted to be scalar and where the nonseparable function need not be monotone in the unobservables. We formalize the identification argument put forward in Altonji, Ichimura, and Otsu (2012), construct a nonparametric estimator, characterize its asymptotic property, and conduct a Monte Carlo investigation to study its small sample properties. Identification is constructive and is achieved through a control function approach. We show that the estimator is consistent and asymptotically normally distributed. The Monte Carlo results are encouraging.

元の言語English
ページ(範囲)4-24
ページ数21
ジャーナルEconometric Reviews
38
発行部数1
DOI
出版物ステータスPublished - 2019 1 2
外部発表Yes

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Endogenous regressors
Estimator
Nonseparable models
Control function
Asymptotic properties
Small sample properties

ASJC Scopus subject areas

  • Economics and Econometrics

これを引用

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AB - In this article we develop a nonparametric estimator for the local average response of a censored dependent variable to endogenous regressors in a nonseparable model where the unobservable error term is not restricted to be scalar and where the nonseparable function need not be monotone in the unobservables. We formalize the identification argument put forward in Altonji, Ichimura, and Otsu (2012), construct a nonparametric estimator, characterize its asymptotic property, and conduct a Monte Carlo investigation to study its small sample properties. Identification is constructive and is achieved through a control function approach. We show that the estimator is consistent and asymptotically normally distributed. The Monte Carlo results are encouraging.

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KW - censored dependent variables

KW - endogeneity

KW - nonparametric estimation

KW - nonseparable models

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