Local Polynomial Estimation of Nonparametric Simultaneous Equations Models

• Main Authors: SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models; Econometrics
• 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
• Institution: Singapore Management University

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...