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Testing for a general class of functional inequalities

Sokbae 'Simon' Lee; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2014

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...

Persistent link: https://www.econbiz.de/10011094570

Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes

Kiviet, Jan F. - Tinbergen Instituut - 2012

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

Persistent link: https://www.econbiz.de/10011256767

An instrumental variable random coefficients model for binary outcomes

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2012

In this paper we study a random coefficient model for a binary outcome. We allow for the possibility that some or even all of the regressors are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are...

Persistent link: https://www.econbiz.de/10010593710

Generalised instrumental variable models

Chesher, Andrew; Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2013

The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern … unobserved heterogeneity to endogenous variables need not admit a unique inverse. The class of GIV models allows unobservables to … practical limitations on the role of unobserved heterogeneity. Important examples include models with discrete or mixed …

Persistent link: https://www.econbiz.de/10010827509

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10010827553