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Identification of a Class of Index Models: A Topological Approach

Kristensen, D; Fosgerau, M; (2020) Identification of a Class of Index Models: A Topological Approach. Econometrics Journal , Article utaa016. 10.1093/ectj/utaa016. (In press). Green open access

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Abstract

We establish nonparametric identification in a class of so-called index models by using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions characterising the model than those required by 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

Type: Article
Title: Identification of a Class of Index Models: A Topological Approach
Open access status: An open access version is available from UCL Discovery
DOI: 10.1093/ectj/utaa016
Publisher version: https://doi.org/10.1093/ectj/utaa016
Language: English
Additional information: Copyright © The Author 2020. Published by Oxford University Press on behalf of Royal Economic Society . This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited.
Keywords: Competing risks, discrete choice, index model, nonparametric identification.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10101033
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