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Generated covariates in nonparametric estimation: A short review

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  • Mammen, Enno
  • Rothe, Christoph
  • Schienle, Melanie

Abstract

In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric estimators differ in the presence of generated covariates from the standard case where all covariates are observed. These results also extend to settings where the focus of interest is on average functionals of the regression function.

Suggested Citation

  • Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2012. "Generated covariates in nonparametric estimation: A short review," SFB 649 Discussion Papers 2012-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2012-042
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    References listed on IDEAS

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    1. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects, and Econometric Policy Evaluation," Econometrica, Econometric Society, vol. 73(3), pages 669-738, May.
    2. 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.
    3. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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