Identification of Nonparametric Simultaneous Equations Models With a Residual Index Structure

• 成果类型: Article
• 署名作者: Berry, Steven T.; Haile, Philip A.
• 署名单位: Yale University; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13575
• 发表日期: 2018
• 页码: 289-315
• 关键词: Nonseparable models; TRANSFORMATION; completeness; instruments; demand

摘要

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 results demonstrate identification when instruments have only limited variation. Even when instruments vary only over a small open ball, relatively mild conditions on the joint density suffice. We also show that the primary sufficient conditions for identification are verifiable and that the maintained hypotheses of the model are falsifiable.