Testing Monotonicity in a Model with Nonseparable Time-Invariant Heterogeneity
2018/01/19
研討會日期 : 2018-01-19
時間 : 11:00
主講人 : Mr. Jiun-Hua Su (蘇俊華)
主持人 : Professor Chu-An Liu
地點 : Conference Room B110
演講者簡介 : Mr. Su will receive his Ph.D. in Economics from University of California, Berkeley in 2018. His research fields are Econometrics and Industrial Organization. He is applying for a position of the Institute of Economics, Academia Sinica now.
演講摘要 : This paper develops a test for structural monotonicity, that is, monotonicity of a structural function in an explanatory variable given any observable covariates and non-separable time-invariant unobserved heterogeneity. We show that in a two-period panel data model, under some conditions, structural monotonicity implies shape constraints on the joint cumulative distribution function (CDF) of outcome variables conditional on the explanatory variables and covariates over specific regions. These regions are parameterized by a nuisance parameter, which can be consistently estimated. We propose a test for structural monotonicity according to the shape constraints on the conditional joint CDF over the estimated regions, and validate the empirical bootstrap method under some high-level conditions. Some Monte Carlo experiments show that the proposed test can detect departures from structural monotonicity, which are not revealed by some tests for regression monotonicity, for example tests proposed by Ghosal, Sen, and van der Vaart (2000) and Chetverikov (2017).
