Identification and Estimation of Nonseparable Triangular Equations with Mismeasured Instruments

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Tác giả: Shaomin Wu

Ngôn ngữ: eng

Ký hiệu phân loại: 522.3 Meridional instruments

Thông tin xuất bản: 2024

Mô tả vật lý:

Bộ sưu tập: Báo, Tạp chí

ID: 202397

In this paper, I study the nonparametric identification and estimation of the marginal effect of an endogenous variable $X$ on the outcome variable $Y$, given a potentially mismeasured instrument variable $W^*$, without assuming linearity or separability of the functions governing the relationship between observables and unobservables. To address the challenges arising from the co-existence of measurement error and nonseparability, I first employ the deconvolution technique from the measurement error literature to identify the joint distribution of $Y, X, W^*$ using two error-laden measurements of $W^*$. I then recover the structural derivative of the function of interest and the "Local Average Response" (LAR) from the joint distribution via the "unobserved instrument" approach in Matzkin (2016). I also propose nonparametric estimators for these parameters and derive their uniform rates of convergence. Monte Carlo exercises show evidence that the estimators I propose have good finite sample performance.
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