Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure

34 Pages Posted: 14 Jul 2015

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

Multiple version iconThere are 2 versions of this paper

Date Written: June 26, 2015

Abstract

We present new results on the identifiability of a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine exclusion restrictions with a requirement that each structural error enter through a “residual index.” Our identification results encompass a variety of special cases allowing tradeoffs between the exogenous variation required of instruments and restrictions on the joint density of structural errors. Among these special cases are results avoiding any density restriction and results allowing instruments with arbitrarily small support.

Keywords: Simultaneous equations, Nonseparable models, Nonparametric identification

JEL Classification: C3, C14

Suggested Citation

Berry, Steven T. and Haile, Philip A., Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure (June 26, 2015). Cowles Foundation Discussion Paper No. 2008, Available at SSRN: https://ssrn.com/abstract=2630221 or http://dx.doi.org/10.2139/ssrn.2630221

Steven T. Berry

Yale University - Department of Economics ( email )

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New Haven, CT 06520-8264
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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
United States

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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