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Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors

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  • Severini, Thomas A.
  • Tripathi, Gautam

Abstract

Let 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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  • Severini, Thomas A. & Tripathi, Gautam, 2012. "Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 491-498.
    • Handle: RePEc:eee:econom:v:170:y:2012:i:2:p:491-498
    DOI: 10.1016/j.jeconom.2012.05.018
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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