CONDITIONAL MOMENT RESTRICTIONS AND TRIANGULAR SIMULTANEOUS EQUATIONS

• 成果类型: Article
• 署名作者: Hahn, Jinyong; Ridder, Geert
• 署名单位: University of California System; University of California Los Angeles; University of Southern California
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00071
• 发表日期: 2011-05
• 页码: 683-689
• 关键词: identification; models

摘要

It is shown that in a nonparametric nonseparable triangular system, the conditional moment restriction (CMR) does not identify the average structural function (ASF). The CMR identifies the ASF only if the model is structurally separable in observable covariates and unobservable random errors. This excludes, for instance, random coefficient models in which the CMR in general does not identify the average response. An implication of our results is that empirical researchers should use methods other than CMR if they want to estimate the average response in models that are not additively separable.