Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous...

For a bivariate binary response model y, = 1 (xj βj+j 0), j=1,2, we propose to estimate nonpararnetrically the quadrant correlation E{sgn(u1) *sgn(u2)} between the two error terms ul and u2 without specifjing the error term distribution. The quadrant correlation accounts for the relationship...

In a "fixed-effect" panel data model with a nonparametric regression function \rho(x_{it}), the usual first-differencing yields a nonparametric regression function \mu(x_{it},x_{i,t+1}) with the restriction \mu(x_{it},x_{i,t+1}) = \rho(x_{i,t+1}) - \rho(x_{it}). Although \mu(x_{it},x_{i,t+1})...

Under a sample selection or non-response problem, where a response variable y is observed only when a condition δ = 1 is met, the identified mean E(y&7Cδ = 1) is not equal to the desired mean E(y). But the monotonicity condition E(y&7Cδ = 1) ≤ E(y&7Cδ =  0) yields an informative...