Identification and Estimation of Triangular Simultaneous Equations Models without Additivity
2008/07/22
研討會日期 : 2008-07-22
時間 : 14:30
主講人 : Professor Whitney K. Newey
地點 : B棟110室
演講者簡介 : Professor Whitney K. Newey 為 Ph.D. in Economics，Massachusetts Institute of Technology (1983)。
目前為Jane Berkowitz Carlton and Dennis William Carlton Professor，Massachusetts Institute of Technology。
其主要研究領域為Econometric Theory、Models Specification Test及Panel Data Analysis。
演講摘要 : This paper investigates identification and estimation of models with nonseparable, multidimensional disturbances using control variables. Triangular simultaneous equations models are considered, with instruments and disturbances independent and reduced form that is strictly monotonic in a scalar disturbance. It is shown that in that setting the conditional cumulative distribution function of the endogenous variable given the instruments is a control variable. Also, for any control variable, identification results are given for quantile, policy, and derivative effects. Bounds for average and quantile effects are given when a common support assumption is not satisfied. Estimators of identified objects and bounds are provided and a demand analysis empirical example given.
