This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

In this paper, the regression discontinuity design (RDD) is generalized to account for differences in observed covariates X in a fully nonparametric way. It is shown that the treatment effect can be estimated at the rate for one-dimensional nonparametric regression irrespective of the dimension...

Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved...

This paper develops IV estimators for unconditional quantile treatment effects (QTE) when the treatment selection is endogenous. In contrast to conditional QTE, i.e. the effects conditional on a large number of covariates X, the unconditional QTE summarize the effects of a treatment for the...

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing non stochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series non...

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...

In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The...

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependenceand heterogeneity in explanatory variables and unobservable disturbances are permitted. We discuss...