Identification in a Class of Nonparametric Simultaneous Equations Models

24 Pages Posted: 5 Apr 2011

See all articles by Steven Berry

Steven Berry

Yale University - Department of Economics; National Bureau of Economic Research (NBER); Yale University - Cowles Foundation

Philip A. Haile

Yale University - Department of Economics; National Bureau of Economic Research (NBER); Yale University - Cowles Foundation

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Date Written: April 5, 2011

Abstract

We consider identification in a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement that each structural error enter through a "residual index" function. We provide constructive proofs of identification under several sets of conditions, demonstrating tradeoffs between restrictions on the support of the instruments, restrictions on the joint distribution of the structural errors, and restrictions on the form of the residual index function.

Keywords: Simultaneous equations, Nonseparable models, Nonparametric identification

JEL Classification: C3, C14

Suggested Citation

Berry, Steven T. and Haile, Philip A., Identification in a Class of Nonparametric Simultaneous Equations Models (April 5, 2011). Cowles Foundation Discussion Paper No. 1787R. Available at SSRN: https://ssrn.com/abstract=1803450

Steven T. Berry

Yale University - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
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Philip A. Haile (Contact Author)

Yale University - Department of Economics ( email )

28 Hillhouse Ave
New Haven, CT 06520-8264
United States
203-432-3568 (Phone)
203-432-6323 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States

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