Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure

44 Pages Posted: 16 Jan 2017

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: December 2016

Abstract

We present new identification results for a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine traditional exclusion restrictions with a requirement that each structural error enter through a “residual index.” Our identification results are constructive and encompass a range of special cases with varying demands on the exogenous variation provided by instruments and the shape of the joint density of the structural errors. The most important of these results demonstrate identification even when instruments have limited variation. A genericity result demonstrates a formal sense in which the associated density conditions may be viewed as mild, even when instruments vary only over a small open ball.

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 (December 2016). Cowles Foundation Discussion Paper No. 2008R, Available at SSRN: https://ssrn.com/abstract=2898841 or http://dx.doi.org/10.2139/ssrn.2898841

Steven T. Berry

Yale University - Department of Economics ( email )

28 Hillhouse Ave
New Haven, CT 06520-8264
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National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
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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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