Identification of a class of index models: A topological approach

2020/04/16 by Mogens Fosgerau, Fosgerau, Mogens, Dennis Kristensen +1
Economics, Econometrics and Finance · Mathematics · #Econometrics (econ.EM) #FOS: Economics and business #FOS: Mathematics #Statistics Theory (math.ST) #econ.EM #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.2004.07900

arxiv created 2020/04/16 · arxiv updated 2020/04/20

Abstract

We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions characterizing the model compared to existing strategies; in particular, it does not require any large support conditions on the regressors of our model. We apply the general identification result to additive random utility and competing risk models.

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