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  1. On the testability of identification in some nonparametric models with endogeneity
    Author: Canay, Ivan A.; Santos, Andres; Shaikh, Azeem M.
    Published: 2012
    Publisher:  Centre for Microdata Methods and Practice, London

    This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem we study concerns testing necessary conditions for... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243 (2012,18)
    Inter-library loan:
    No inter-library loan

     

    This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem we study concerns testing necessary conditions for identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically referred to as completeness conditions. The second and third hypothesis testing problems we examine concern testing for identification directly in some nonparametric models with endogeneity involving quantile independence restrictions. For each of these hypothesis testing problems, we provide conditions under which any test will have power no greater than size against any alternative. In this sense, we conclude that no nontrivial tests for these hypothesis testing problems exist. -

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/64793
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 18/12
    Subjects: Instrumental Variables; Identification; Completeness; Bounded Completeness
    Scope: Online-Ressource (PDF-Datei: 20 S., 470 KB)
  2. Local identification of nonparametric and semiparametric models
    Published: 2012
    Publisher:  Centre for Microdata Methods and Practice, London

    In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear,... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243 (2012,37)
    Inter-library loan:
    No inter-library loan

     

    In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities overwhelming linear effects. We give restrictions on a neighborhood of the true value that are sufficient for local identification. We apply these results to obtain new, primitive identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single-index IV models, and semiparametric consumption-based asset pricing models.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/79543
    Edition: Rev.
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 37/12
    Subjects: Identification; Local Identification; Nonparametric Models; Asset Pricing
    Scope: Online-Ressource (PDF-Datei: 44 S., 425 KB)
  3. Econometric analysis of games with multiple equilibria
    Author: Paula, Áureo de
    Published: 2012
    Publisher:  Centre for Microdata Methods and Practice, London

    This article reviews the recent literature on the econometric analysis of games where multiple solutions are possible. Multiplicity does not necessarily preclude the estimation of a particular model (and in certain cases even improves its... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243 (2012,29)
    Inter-library loan:
    No inter-library loan

     

    This article reviews the recent literature on the econometric analysis of games where multiple solutions are possible. Multiplicity does not necessarily preclude the estimation of a particular model (and in certain cases even improves its identification), but ignoring it can lead to misspecifications. The survey starts with a general characterization of structural models that highlights how multiplicity affects the classical paradigm. Because the information structure is an important guide to identification and estimation strategies, I discuss games of complete and incomplete information separately. Whereas many of the techniques discussed in the article can be transported across different information environments, some of them are specific to particular models. I also survey models of social interactions in a different section. I close with a brief discussion of post-estimation issues and research prospects.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/79540
    Edition: This version: September, 2012
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 29/12
    Subjects: Identification; multiplicity; games; social interactions
    Scope: Online-Ressource (PDF-Datei: 41 S., 755 KB), graph. Darst.