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Nonparametric Estimation in Case of Endogenous Selection

Author

Listed:
  • Breunig, Christoph

    (Humboldt-Universität zu Berlin)

  • Mammen, Enno

    (Universität Heidelberg)

  • Simoni, Anna

    (CREST)

Abstract

This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed for. In the exogenous and endogenous case, consistent two-step estimation procedures are proposed and their rates of convergence are derived. Pointwise asymptotic distribution of the estimators is established. In addition, bootstrap uniform confidence bands are obtained. Finite sample properties are illustrated in a Monte Carlo simulation study and an empirical illustration.

Suggested Citation

  • Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2017. "Nonparametric Estimation in Case of Endogenous Selection," Rationality and Competition Discussion Paper Series 58, CRC TRR 190 Rationality and Competition.
  • Handle: RePEc:rco:dpaper:58
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    endogenous selection; instrumental variable; sieve minimum distance; regression estimation; inverse problem; inverse probability weighting; convergence rate; asymptotic normality; bootstrap uniform confidence bands;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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