Let H 0 (X) be a function that can be nonparametrically estimated. Suppose E [ Y | X ]= F 0 [ X ß 0 H 0 (X) ] . Many models fit this framework, including latent in- dex models with an endogenous regressor and nonlinear models with sample se- lection. We show that the vector ß 0 and unknown...

Let H₀(X) be a function that can be nonparametrically estimated. Suppose E [Y&7CX]=F₀[X⊤β₀, H₀(X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector β₀ and unknown function F₀ are...

Let r (x, z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H, M, G and F, where r (x, z) = H [M (x, z)] and M (x, z) = G(x) + F (z). An estimation algorithm...