Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor

Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor

Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) coi...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
fixed effects
kernel regression
location shift
mixing
nonparametric IV
nonstationarity
panel model
structural estimation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1171
https://ink.library.smu.edu.sg/context/soe_research/article/2170/viewcontent/NonparameticStructuralEstimation_2009_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1171
https://ink.library.smu.edu.sg/context/soe_research/article/2170/viewcontent/NonparameticStructuralEstimation_2009_wp.pdf

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