CFDP 1787

Identification in a Class of Nonparametric Simultaneous Equations Models

Author(s): 

Publication Date: March 2011

Pages: 24

Abstract: 

We consider identification in a class of nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine standard exclusion restrictions with a requirement that each structural error enter through a “residual index” function. We provide constructive proofs of identification under several sets of conditions, demonstrating tradeoffs between restrictions on the support of the instruments, shape restrictions on the joint distribution of the structural errors, and restrictions on the form of the residual index function.

Keywords: 

Simultaneous equations, Nonseparable models, Nonparametric identification