Some Identification Issues In Nonparametric Linear Models With Endogenous Regressors
In applied work economists often seek to relate a given response variable y to some causal parameter mu* associated with it. This parameter usually represents a summarization based on some explanatory variables of the distribution of y, such as a regression function, and treating it as a conditional expectation is central to its identification and estimation. However, the interpretation of mu* as a conditional expectation breaks down if some or all of the explanatory variables are endogenous. This is not a problem when mu* is modelled as a parametric function of explanatory variables because it is well known how instrumental variables techniques can be used to identify and estimate mu*. In contrast, handling endogenous regressors in nonparametric models, where mu* is regarded as fully unknown, presents difficult theoretical and practical challenges. In this paper we consider an endogenous nonparametric model based on a conditional moment restriction. We investigate identification related properties of this model when the unknown function mu* belongs to a linear space. We also investigate underidentification of mu* along with the identification of its linear functionals. Several examples are provided in order to develop intuition about identification and estimation for endogenous nonparametric regression and related models.
(This abstract was borrowed from another version of this item.)
Volume (Year): 22 (2006)
Issue (Month): 02 (April)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- S. Darolles & Y. Fan & J. P. Florens & E. Renault, 2011.
"Nonparametric Instrumental Regression,"
Econometric Society, vol. 79(5), pages 1541-1565, 09.
- Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers 2000-17, Centre de Recherche en Economie et Statistique.
- Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
- DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
- Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault, 2011. "Nonparametric Instrumental Regression," Post-Print halshs-00677716, HAL.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers 0235, Econometric Society.
- Peter Hall & Joel L. Horowitz, 2003. "Nonparametric methods for inference in the presence of instrumental variables," CeMMAP working papers CWP02/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
- Whitney Newey & James Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey & James L. Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-6, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
- Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
- Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
- Jeffrey M. Wooldridge, 2001. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262232197, January.
- Jean-Pierre Florens & James Heckman & Costas Meghir & Edward Vytlacil, 2002. "Instrumental variables, local instrumental variables and control functions," CeMMAP working papers CWP15/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Florens, Jean-Pierre & Heckman, James J. & Meghir, Costas & Vytlacil, Edward, 2003. "Instrumental Variables, Local Instrumental Variables and Control Functions," IDEI Working Papers 249, Institut d'Économie Industrielle (IDEI), Toulouse.
- Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:02:p:258-278_06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.