Iterative Estimation of Nonparametric Regressions with Continuous Endogenous Variables and Discrete Instruments
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2019
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866909352077557760 |
|---|---|
| author | Centorrino, Samuele Fève, Frédérique Florens, Jean-Pierre |
| author_facet | Centorrino, Samuele Fève, Frédérique Florens, Jean-Pierre |
| contents | We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1905_07812 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Iterative Estimation of Nonparametric Regressions with Continuous Endogenous Variables and Discrete Instruments Centorrino, Samuele Fève, Frédérique Florens, Jean-Pierre Econometrics Methodology We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education. |
| title | Iterative Estimation of Nonparametric Regressions with Continuous Endogenous Variables and Discrete Instruments |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/1905.07812 |