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Saturday, October 20
Knowledge
Sat, Oct 20, 10:00 AM - 11:30 AM
Caprice 1-2
Growing Our Knowledge

Revisiting Nonseparability: An Empirical Comparison (304758)

*Deniz Ozabaci, University of New Hampshire 

Keywords: Nonparametric, Nonseparable, Structural Equation, Endogeneity, Bandwidth Selection, Quantile Effects

In this paper, we aim to fill in some of the gaps we see in the empirical economics research, in terms of the non-separable nonparametric regression models. We adopt a nonparametric estimator for the non-separable triangular simultaneous equations model that is proposed by Imbens and Newey (2009). Under this estimator, we compare several bandwidth selection rules, and analyze the estimator both asymptotically, and at the finite sample via Monte-Carlo simulations. Finally, we apply this model to two empirical questions from microeconomics, taking multiple sources of endogeneity into account. With this paper, we can show how much information can be extracted from these highly flexible estimators, see the comparability of the model’s results to the ones from the existing literature, and analyze the performance and the properties of the estimator and the associated bandwidth rules.