Informational Content of Factor Structures in Simultaneous Binary Response Models / Shakeeb Khan, Arnaud Maurel, Yichong Zhang.

Format:

Book

Author/Creator:

Khan, Shakeeb.

Contributor:

National Bureau of Economic Research.

Maurel, Arnaud.

Zhang, Yichong.

Series:

Working Paper Series (National Bureau of Economic Research) no. w28327.

NBER working paper series no. w28327

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2021.

Summary:

We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their identifying power in a bivariate system often employed in the treatment effects literature. Our main findings are that imposing a factor structure yields point identification of parameters of interest, such as the coefficient associated with the endogenous regressor in the outcome equation, under weaker assumptions than usually required in these models. In particular, we show that a non-standard exclusion restriction that requires an explanatory variable in the outcome equation to be excluded from the treatment equation is no longer necessary for identification, even in cases where all of the regressors from the outcome equation are discrete. We also establish identification of the coefficient of the endogenous regressor in models with more general factor structures, in situations where one has access to at least two continuous measurements of the common factor.

Notes:

Print version record

January 2021.