COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1787 Identification in a Class of Nonparametric Simultaneous Equations Models Steven T. Berry and Philip A. Haile March 2011 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. |
