Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments

IF 9.9 3区 经济学 Q1 ECONOMICS
Samuele Centorrino , Frédérique Fève , Jean-Pierre Florens
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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.
当只有独立于误差项的离散工具时,我们考虑了一个具有连续内生自变量的非参数回归模型。尽管这一框架与应用研究密切相关,但其实施却极具挑战性,因为回归函数变成了非线性积分方程的解。我们提出了一个简单的迭代程序来估计此类模型,并展示了它的一些渐近特性。在模拟实验中,我们详细介绍了在工具变量为二元变量的情况下该程序的实施。最后,我们将对教育回报进行实证应用。
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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
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.
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