Suppose V and U are two independent mean zero random variables, where V has an asymmetric distribution with two mass points and U has some zero odd moments (having a symmetric distribution suffices). We show that the distributions of V and U are nonparametrically identified just from observing the sum V+U, and provide a pointwise rate root n estimator. This can permit point identification of average treatment effects when the econometrician does not observe who was treated. We extend our results to include covariates X, showing that we can nonparametrically identify and estimate cross section regression models of the form Y=g(X,D∗)+U, where D∗ is an unobserved binary regressor.
Authors
Research Associate Boston College
Arthur is a Research Associate of the IFS and holds the Barbara A. and Patrick E. Roche chair in economics at Boston College.
Yingyong Dong
Journal article details
- DOI
- 10.1016/j.jeconom.2011.03.003
- Publisher
- Elsevier
- Issue
- Volume 163, Issue 2, August 2011
Suggested citation
Dong, Y and Lewbel, A. (2011). 'Nonparametric identification of auction models with non-separable unobserved heterogeneity' 163(2/2011)
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