Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor

• 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
• Institution: Singapore Management University

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...