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Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors
Severini, Thomas A.; Tripathi, Gautam - 2007
The main objective of this paper is to derive the efficiency bounds for estimating certain linear functionals of an unknown structural function when the latter is not itself a conditional expectation.
Persistent link: https://www.econbiz.de/10010318510
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Nonparametric identification using instrumental variables: Sufficient conditions for completeness
Hu, Yingyao; Shiu, Ji-Liang - 2011
This paper provides sufficient conditions for the nonparametric identification of the regression function m(.) in a … regression model with an endogenous regressor x and an instrumental variable z. It has been shown that the identification of the … regression function from the conditional expectation of the dependent variable on the instrument relies on the completeness of …
Persistent link: https://www.econbiz.de/10010288341
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Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
Beran, Jan; Feng, Yuanhua - 2002
This paper summarizes recent developments in non- and semiparametric regres- sion with stationary fractional time series errors, where the error process may be short-range, long-range dependent or antipersistent. The trend function in this model is estimated nonparametrically, while the...
Persistent link: https://www.econbiz.de/10010324094
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Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments
Chen, Xiaohong; Hu, Yingyao; Lewbel, Arthur - 2007
This note considers nonparametric identification of a general nonlinear regression model with a dichotomous regressor … strategy does not parameterize any regression or distribution functions, and does not require additional sample information … regression model error has zero conditional third moment. The results include a closed-form solution for the unknown …
Persistent link: https://www.econbiz.de/10010318544
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Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2011
A Direct Monte Carlo (DMC) approach is introduced for posterior simulation in theInstrumental Variables (IV) model with one possibly endogenous regressor, multipleinstruments and Gaussian errors under a flat prior. This DMC method can also beapplied in an IV model (with one or multiple...
Persistent link: https://www.econbiz.de/10010326547
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Nonparametric IV Estimation of Local Average Treatment Effects with Covariates
Frölich, Markus - 2002
In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies on much weaker assumptions than the...
Persistent link: https://www.econbiz.de/10010262665
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Unconditional quantile treatment effects under endogeneity
Frölich, Markus; Melly, Blaise - 2008
are proposed: regression, propensity score and weighting estimators. Root n consistency, asymptotic normality and …
Persistent link: https://www.econbiz.de/10010268775
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Instrumental variables in models with multiple outcomes: the general unordered case
Heckman, James Joseph; Urzúa, Sergio; Vytlacil, Edward - 2008
This paper develops the method of local instrumental variables for models with multiple, unordered treatments when treatment choice is determined by a nonparametric version of the multinomial choice model. Responses to interventions are permitted to be heterogeneous in a general way and agents...
Persistent link: https://www.econbiz.de/10010276907
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Convex treatment response and treatment selection
Boes, Stefan - 2010
This paper analyzes the identifying power of weak convexity assumptions in treatment effect models with endogenous selection. The counterfactual distributions are constrained either in terms of the response function, or conditional on the realized treatment, and sharp bounds on the potential...
Persistent link: https://www.econbiz.de/10010315574
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Testing a parametric model against a nonparametric alternative with identification through instrumental variables
Horowitz, Joel - 2004
This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...
Persistent link: https://www.econbiz.de/10010318518