{"title":"ARE UNOBSERVABLES SEPARABLE?","authors":"Andrii Babii, Jean-Pierre Florens","doi":"10.1017/s026646662400001x","DOIUrl":null,"url":null,"abstract":"It is common to assume in empirical research that observables and unobservables are additively separable, especially when the former are endogenous. This is because it is widely recognized that identification and estimation challenges arise when interactions between the two are allowed for. Starting from a nonseparable IV model, where the instrumental variable is independent of unobservables, we develop a novel nonparametric test of separability of unobservables. The large-sample distribution of the test statistics is nonstandard and relies on a Donsker-type central limit theorem for the empirical distribution of nonparametric IV residuals, which may be of independent interest. Using a dataset drawn from the 2015 U.S. Consumer Expenditure Survey, we find that the test rejects the separability in Engel curves for some commodities.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"64 1","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/s026646662400001x","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
It is common to assume in empirical research that observables and unobservables are additively separable, especially when the former are endogenous. This is because it is widely recognized that identification and estimation challenges arise when interactions between the two are allowed for. Starting from a nonseparable IV model, where the instrumental variable is independent of unobservables, we develop a novel nonparametric test of separability of unobservables. The large-sample distribution of the test statistics is nonstandard and relies on a Donsker-type central limit theorem for the empirical distribution of nonparametric IV residuals, which may be of independent interest. Using a dataset drawn from the 2015 U.S. Consumer Expenditure Survey, we find that the test rejects the separability in Engel curves for some commodities.
在实证研究中，通常假定可观测变量和不可观测变量是可加分离的，尤其是当前者是内生变量时。这是因为人们普遍认为，如果允许两者之间存在交互作用，就会出现识别和估计难题。从工具变量独立于非观测变量的非分离 IV 模型出发，我们开发了一种新的非参数非观测变量可分性检验方法。检验统计量的大样本分布是非标准的，依赖于非参数 IV 残差经验分布的 Donsker 型中心极限定理，这可能会引起独立的兴趣。利用 2015 年美国消费者支出调查的数据集，我们发现该检验拒绝了某些商品的恩格尔曲线可分性。
Econometric TheoryMATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍：
Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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