centre for microdata methods and practice

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Cemmap provides a focus for development, understanding and application of methods for modelling individual behaviour, the influences on it and the impact of policy interventions. Read more

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  • Workshop
    Missing Data in Longitudinal and Linked Surveys
  • Masterclass
    Econometrics of Nonseparable Models
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Masterclass by Rosa Matzkin: Econometrics of Nonseparable Models, 08-09 May

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When confronting an economic model with data, one usually encounters a situation where some important variables, such as tastes and productivity that appear in the model in nonadditive, nonseparable ways, are unobserved.  Rather than transforming the model into one where the unobservables enter in separable ways, the nonseparable approach considers identification and estimation of the original model.  The original model satisfies the economic restrictions of the model, which aid in identification and estimation.  These restrictions are often lost in separable transformations. 

This masterclass will cover identification and estimation methods for nonseparable models, with emphasis on nonparametric methods.  First, some key econometric techniques used in nonseparable models will be presented.  Next, it will be shown how these techniques have been used and extended to study particular econometric models. 

Econometrics of Nonseparable Models

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Minimalist G-modelling: A comment on Efron

03 April 2019
Roger Koenker and Jiaying Gu

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Centre for Microdata Methods and Practice

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