{"title":"Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments","authors":"Samuele Centorrino , Frédérique Fève , Jean-Pierre Florens","doi":"10.1016/j.jeconom.2025.105950","DOIUrl":null,"url":null,"abstract":"<div><div>We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105950"},"PeriodicalIF":9.9000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Econometrics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304407625000041","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education.
期刊介绍:
The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.