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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sg-smu-ink.soe_research-12862018-05-09T06:57:05Z Local Polynomial Estimation of Nonparametric Simultaneous Equations Models SU, Liangjun ULLAH, Aman 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]. 2008-05-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/287 info:doi/10.1016/j.jeconom.2008.01.002 https://ink.library.smu.edu.sg/context/soe_research/article/1286/viewcontent/Local_Polynomial_Estimation_2008.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models Econometrics |
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Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models Econometrics SU, Liangjun ULLAH, Aman Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
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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]. |
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SU, Liangjun ULLAH, Aman |
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SU, Liangjun ULLAH, Aman |
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SU, Liangjun |
title |
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
title_short |
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
title_full |
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
title_fullStr |
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
title_full_unstemmed |
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models |
title_sort |
local polynomial estimation of nonparametric simultaneous equations models |
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Institutional Knowledge at Singapore Management University |
publishDate |
2008 |
url |
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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