Nonparametric Identification Using Instrumental Variables: Sufficient Conditions For Completeness
This paper provides sufficient conditions for the nonparametric identification of the regression function m(.) in a regression model with an endogenous regressor x and an instrumental variable z. It has been shown that the identification of the regression function from the conditional expectation of the dependent variable on the instrument relies on the completeness of the distribution of the endogenous regressor conditional on the instrument, i.e., f(x|z). We provide sufficient conditions for the completeness of f(x|z) without imposing a specific functional form, such as the exponential family. We show that if the conditional density f(x|z) coincides with an existing complete density at a limit point in the support of z, then f(x|z) itself is complete, and therefore, the regression function m(.) is nonparametrically identified. We use this general result provide specific sufficient conditions for completeness in three different specifications of the relationship between the endogenous regressor x and the instrumental variable z.
|Date of creation:||Jun 2011|
|Date of revision:|
|Contact details of provider:|| Postal: 3400 North Charles Street Baltimore, MD 21218|
Web page: http://www.econ.jhu.edu
More information through EDIRC
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.:
- Yingyao Hu & Matthew Shum, 2008.
"Nonparametric identification of dynamic models with unobserved state variables,"
CeMMAP working papers
CWP13/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hu, Yingyao & Shum, Matthew, 2012. "Nonparametric identification of dynamic models with unobserved state variables," Journal of Econometrics, Elsevier, vol. 171(1), pages 32-44.
- Yingyao Hu & Matthew Shum, 2008. "Nonparametric Identification of Dynamic Models with Unobserved State Variables," Economics Working Paper Archive 543, The Johns Hopkins University,Department of Economics.
- Xavier d'Haultfoeuille, 2006.
"On the Completeness Condition in Nonparametric Instrumental Problems,"
2006-32, Centre de Recherche en Economie et Statistique.
- D’Haultfoeuille, Xavier, 2011. "On The Completeness Condition In Nonparametric Instrumental Problems," Econometric Theory, Cambridge University Press, vol. 27(03), pages 460-471, June.
- Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
When requesting a correction, please mention this item's handle: RePEc:jhu:papers:581. 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: (None)The email address of this maintainer does not seem to be valid anymore. Please ask None to update the entry or send us the correct email address
If references are entirely missing, you can add them using this form.