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Identification of Marginal Effects in Nonseparable Models Without Monotonicity
Author(s) -
Hoderlein Stefan,
Mammen Enno
Publication year - 2007
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/j.1468-0262.2007.00801.x
Subject(s) - monotonic function , quantile , econometrics , mathematics , identification (biology) , additive function , quantile regression , regression , economics , statistics , mathematical analysis , botany , biology
Nonseparable models do not impose any type of additivity between the unobserved part and the observable regressors, and are therefore ideal for many economic applications. To identify these models using the entire joint distribution of the data as summarized in regression quantiles, monotonicity in unobservables has frequently been assumed. This paper establishes that in the absence of monotonicity, the quantiles identify local average structural derivatives of nonseparable models.