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Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors

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  • Lee, Myoung-Jae

Abstract

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 censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 02 (June)
Pages: 305-330

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Handle: RePEc:cup:etheor:v:12:y:1996:i:02:p:305-330_00

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Cited by:
  1. Chiburis, Richard C., 2010. "Semiparametric bounds on treatment effects," Journal of Econometrics, Elsevier, Elsevier, vol. 159(2), pages 267-275, December.
  2. Changhui Kang & Myoung-jae Lee, 2010. "Performance Of Various Estimators For Censored Response Models With Endogenous Regressors," Pacific Economic Review, Wiley Blackwell, vol. 15(4), pages 447-463, October.
  3. Pao-Li Chang & Myoung-Jae Lee, 2006. "Protection for Sale Under Monopolistic Competition : An Empirical Investigation," Microeconomics Working Papers 22061, East Asian Bureau of Economic Research.
  4. Chen, Songnian, 2000. "Rank estimation of a location parameter in the binary choice model," Journal of Econometrics, Elsevier, Elsevier, vol. 98(2), pages 317-334, October.
  5. Puhani, Patrick A., 1997. "Foul or Fair?," ZEW Discussion Papers 97-07, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  6. Charlier, E. & Melenberg, B. & Soest, A.H.O. van, 1997. "An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models," Discussion Paper, Tilburg University, Center for Economic Research 1997-15, Tilburg University, Center for Economic Research.
  7. Lee, M.J., 1996. "A Root-N Consistent Semiparametric Estimator for Fixed Effect Binary Response Panel Data," Discussion Paper, Tilburg University, Center for Economic Research 1996-64, Tilburg University, Center for Economic Research.
  8. Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, Elsevier, vol. 157(1), pages 143-150, July.

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