Identification in nonseparable models

• 成果类型: Article; Proceedings Paper
• 署名作者: Chesher, A
• 署名单位: University of London; London School Economics & Political Science; University College London; University of London; University College London
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00454
• 发表日期: 2003
• 页码: 1405-1441
• 关键词: RANDOM COEFFICIENT MODEL; REGRESSION QUANTILES; PARAMETRIC MODELS; variables; Identifiability; EQUATIONS; earnings; return

摘要

Weak nonparametric restrictions are developed, sufficient to identify the values of derivatives of structural functions in which latent random variables are nonseparable. These derivatives can exhibit stochastic variation. In a microeconometric context this allows the impact of a policy intervention, as measured by the value of a structural derivative, to vary across people who are identical as measured by covariates. When the restrictions are satisfied quantiles of the distribution of a policy impact across people can be identified. The identification restrictions are local in the sense that they are specific to the values of the covariates and the specific quantiles of latent variables at which identification is sought. The conditions do not include the commonly required independence of latent variables and covariates. They include local versions of the classical rank and order conditions and local quantile insensitivity conditions. Values of structural derivatives are identified by functionals of quantile regression functions and can be estimated using the same functionals applied to estimated quantile regression functions.