Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130046 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
cemmap working paper No. CWP33/15
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
The triangular model is a very popular way to capture endogeneity. In this model, an outcome is determined by an endogenous regressor, which in turn is caused by an instrument in a first stage. In this paper, we study the triangular model with random coefficients and exogenous regressors in both equations. We establish a profound non-identification result: the joint distribution of the random coefficients is not identified, implying that counterfactual outcomes are also not identified in general. This result continues to hold, if we confine ourselves to the joint distribution of coefficients in the outcome equation or any marginal, except the one on the endogenous regressor. Identification continues to fail, even if we focus on means of random coefficients (implying that IV is generally biased), or let the instrument enter the first stage in a monotonic fashion. Based on this insight, we derive bounds on the joint distribution of random parameters, and suggest an additional restriction that allows to point identify the distribution of random coefficients in the outcome equation. We extend this framework to cover the case where the regressors and instruments have limited support, and analyze semi- and nonparametric sample counterpart estimators in finite and large samples. Finally, we give an application of the framework to consumer demand.
Schlagwörter: 
Random Coefficients
Endogeneity
Nonparametric
Identification
Radon Transform
Demand
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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