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Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables

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  • Kirill S. Evdokimov
  • Andrei Zeleneev

Abstract

This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and easy-to-interpret conditions on the instrumental variable. The paper also provides nonparametric estimators of the regression function and derives their rates of convergence.

Suggested Citation

  • Kirill S. Evdokimov & Andrei Zeleneev, 2024. "Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables," Papers 2403.11309, arXiv.org.
    • Handle: RePEc:arx:papers:2403.11309
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    References listed on IDEAS

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    1. Hu, Yingyao, 2008. "Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution," Journal of Econometrics, Elsevier, vol. 144(1), pages 27-61, May.
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