Su, Liangjun; Murtazashvili, Irina; Ullah, Aman - In: Journal of Business & Economic Statistics 31 (2013) 2, pp. 184-207
We consider the local linear generalized method of moment (GMM) estimation of functional coefficient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable...