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Exploring the Use of a Nonparametrically Generated Instrumental Variable in the Estimation of a Linear Parametric Equation

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Author Info
Frank T. Denton

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Abstract

The use of a nonparametrically generated instrumental variable in estimating a single-equation linear parametric model is explored, using kernel and other smoothing functions. The method, termed IVOS (Instrumental Variables Obtained by Smoothing), is applied in the estimation of measurement error and endogenous regressor models. Asymptotic and small-sample properties are investigated by simulation, using artificial data sets. IVOS is easy to apply and the simulation results exhibit good statistical properties. It can be used in situations in which standard IV cannot because suitable instruments are not available.

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Publisher Info
Paper provided by McMaster University in its series Quantitative Studies in Economics and Population Research Reports with number 390.

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Length: 30 pages
Date of creation: Dec 2004
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Handle: RePEc:mcm:qseprr:390

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Related research
Keywords: single equation models; nonparametric; instrumental variables;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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  1. Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-37, July. [Downloadable!] (restricted)
  2. Buckley, Neil J. & Denton, Frank T. & Leslie Robb, A. & Spencer, Byron G., 2004. "The transition from good to poor health: an econometric study of the older population," Journal of Health Economics, Elsevier, vol. 23(5), pages 1013-1034, September. [Downloadable!] (restricted)
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  3. James H. Stock & Francesco Trebbi, 2003. "Who Invented Instrumental Variable Regression?," Journal of Economic Perspectives, American Economic Association, vol. 17(3), pages 177-194, Summer. [Downloadable!] (restricted)
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