Semiparametric Distribution Regression with Instruments and Monotonicity
24 Pages Posted: 11 Dec 2022
Date Written: December 7, 2022
This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators. We discuss the causal interpretation of the estimators and two methods (monotone rearrangement and isotonic regression) to ensure a monotonically increasing distribution function. Asymptotic properties and simulation evidence are provided. An application to wage equations reveals statistically significant and heterogeneous differences to the inconsistent OLS-based estimator.
Keywords: Control function, endogeneity, isotonic regression, wage equations
JEL Classification: C26, J30
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