Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors
AbstractLet Y=μ∗(X)+ε, where μ∗ is unknown and E[ε|X]≠0 with positive probability but there exist instrumental variables W such that E[ε|W]=0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ∗ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ∗ without assuming μ∗ itself to be identified.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 170 (2012)
Issue (Month): 2 ()
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