Conditional Moment Restrictions and Triangular Simultaneous Equations
证明在非参数不可分三角系统中，条件矩约束无法识别平均结构函数，仅当模型在可观测协变量与不可观测误差间结构可分时才可识别，这对随机系数模型等有重要启示。
It is shown that in a nonparametric nonseparable triangular system, the conditional moment restriction (CMR) does not identify the average structural function (ASF). The CMR identifies the ASF only if the model is structurally separable in observable covariates and unobservable random errors. This excludes, for instance, random coefficient models in which the CMR in general does not identify the average response. An implication of our results is that empirical researchers should use methods other than CMR if they want to estimate the average response in models that are not additively separable. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.