Identification and estimation of semiparametric two-step models

Escanciano, Juan Carlos; Jacho-Chavez, David; Lewbel, Arthur

Identification and estimation of semiparametric two-step models

Author(s): Escanciano, Juan Carlos; Jacho-Chavez, David; Lewbel, Arthur

Publisher: Econometric Society
Wiley Open Access

Issued date: 2016-07-20

Citation: Escanciano, J.C, Jacho-Chavez, D., Lewbel, A. (2016). Identification and estimation of semiparametrix two-step models. In Quantitative Economis, 7, pp. 561-589

ISSN: 1759-7323

DOI: https://doi.org/10.3982/QE328

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Ministerio de Asuntos Económicos y Transformación Digital (España)

Sponsor: Escanciano’s research was funded by the Spanish Plan Nacional de I+D+i, reference number ECO2012-33053.

Project: Gobierno de España. ECO2012-33053

Keywords: Identification by functional form , Double index models , Two-step estimators , Semiparametric regression , Control function estimators , Sample selection models , Empirical process theory , Limited dependent variables , Migration

JEL Classification: C13 , C14 , C21 , D24

URI: http://hdl.handle.net/10016/34099

Rights: © 2016 Juan Carlos Escanciano, David Jacho-Chávez, and Arthur Lewbel. Licensed
Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector ß0 and unknown function F0 are generally point identified without exclusion restrictions or instrum [+]

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