Timothy Christensen, Benjamin Connault
arXiv 1 Apr 2019 · Econometrics
arXiv:1904.00989 · PDF · Extracted main text
We propose a framework for analyzing the sensitivity of counterfactuals to parametric assumptions about the distribution of latent variables in structural models. In particular, we derive bounds on counterfactuals as the distribution of latent variables spans nonparametric neighborhoods of a given parametric specification while other "structural" features of the model are maintained. Our approach recasts the infinite-dimensional problem of optimizing the counterfactual with respect to the distribution of latent variables (subject to model constraints) as a finite-dimensional convex program. We also develop an MPEC version of our method to further simplify computation in models with endogenous parameters (e.g., value functions) defined by equilibrium constraints. We propose plug-in estimators of the bounds and two methods for inference. We also show that our bounds converge to the sharp nonparametric bounds on counterfactuals as the neighborhood size becomes large. To illustrate the broad applicability of our procedure, we present empirical applications to matching models with transferable utility and dynamic discrete choice models.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rust, J (1987) Optimal replacement of GMC bus engines: An empirical model of Harold Zurcher | 1.000 | 7 | 4 | 100% |
| 2 | Choo, E. and A. Siow (2006) Who marries whom and why | 0.811 | 4 | 2 | 100% |
| 3 | Ciliberto, F. and E. Tamer (2009) Market structure and multiple equilibria in airline markets | 0.811 | 4 | 2 | 100% |
| 4 | Berry, S. T (1992) Estimation of a model of entry in the airline industry | 0.737 | 3 | 2 | 100% |
| 5 | Hansen, L. P. and T. J. Sargent (2001) Robust control and model uncertainty | 0.737 | 3 | 2 | 100% |
| 6 | Fang, Z. and A. Santos (2019) Inference on directionally differentiable functions | 0.644 | 4 | 2 | 50% |
| 7 | Allen, R. and J. Rehbeck (2019) Identification with additively separable heterogeneity | 0.644 | 2 | 2 | 100% |
| 8 | Beresteanu, A., I. Molchanov, and F. Molinari (2011) Sharp identification regions in models with convex moment predictions | 0.644 | 2 | 2 | 100% |
| 9 | Chiappori, P.-A., B. Salanié, and Y. Weiss (2017) Partner choice, investment in children, and the marital college premium | 0.644 | 2 | 2 | 100% |
| 10 | Dagsvik, J. K (2000) Aggregation in matching markets | 0.644 | 2 | 2 | 100% |
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