Professor Zhengyu Zhang recently had a paper accepted for publication in the Econometric Theory, a tier-two journal in SUFE list. The paper, titled“Identification and Estimation of Random Coefficients Transformation Model”, was coauthored with Post-doctor Zequn Jin from School of Economics.
Abstract
This study examines identification and estimation in a correlated random coefficients (CRC) model with an unknown transformation of the dependent variable, namely λ(Y∗) = B0 + X′B, where the latent outcome Y∗
may be subject to a certain kind of censoring mechanism, λ(·) is an unknown, one-to-one monotone function, and the random coefficients (B0,B) are allowed to be correlated with one or several components of X. Under a conditional median independence plus a conditional median zero restriction, the mean of B is shown to be identified up to scale. Moreover, we show the derivative of the median structural function (MSF) is point identified. This derivative of MSF resembles the marginal treatment effect introduced by Heckman and Vytlacil (2005, Econometrica 73, 669–738). It generalizes the usual average treatment effect in a linear CRC model and coincides with E(B) when λ is equal to the identity function; it is invariant to both location and scale normalization on the coefficients. We develop estimators for the identified parameters and derive asymptotic properties for the derivative of MSF. An empirical example using the U.K. Family Expenditure Survey is provided.
Professor Zhengyu Zhang joined the SOE in 2013 and the Director of Mathematical Economics Department of School of Economics of SUFE. He holds a PhD in economics from Shanghai University of Finance and Economics and his primary area of research is microeconometric evaluation of economic policy. He has been awarded two grants by the National Natural Science Foundation of China and one grant by the National Social Science Foundation of China.
