Local Polynomial Estimation of Nonparametric Simultaneous Equations Models

We define a new procedure for consistent estimation of nonparametric simultaneous equations models under the conditional mean independence restriction of Newey et al. [1999. Nonparametric estimation of triangular simultaneous equation models. Econometrica 67, 565-603]. It is based upon local polynom...

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Bibliographic Details
Main Authors: SU, Liangjun, ULLAH, Aman
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/soe_research/287
https://ink.library.smu.edu.sg/context/soe_research/article/1286/viewcontent/Local_Polynomial_Estimation_2008.pdf
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Institution: Singapore Management University
Language: English
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Summary:We define a new procedure for consistent estimation of nonparametric simultaneous equations models under the conditional mean independence restriction of Newey et al. [1999. Nonparametric estimation of triangular simultaneous equation models. Econometrica 67, 565-603]. It is based upon local polynomial regression and marginal integration techniques. We establish the asymptotic distribution of our estimator under weak data dependence conditions. Simulation evidence suggests that our estimator may significantly outperform the estimators of Pinkse [2000. Nonparametric two-step regression estimation when regressors and errors are dependent. Canadian Journal of Statistics 28, 289-300] and Newey and Powell [2003. Instrumental variable estimation of nonparametric models. Econometrica 71, 1565-1578].