COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1787R

Identification in a Class of Nonparametric Simultaneous Equations Models

Steven T. Berry and Philip A. Haile

March 2011
Revised April 2011

We consider identification in a class of nonseparable 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, 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

JEL Classification: C3, C14