Local Linear GMM Estimation of Functional Coefficient IV Models with Application to the Estimation of Rate of Return to Schooling

• Main Authors: SU, Liangjun, MURTAZASHVILI, Irina, ULLAH, Aman
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Discrete variables; Endogeneity; Heterogeneity; Functional coefficient; Local linear GMM estimation; Optimal instrumental variable; Schooling; Econometrics; Economics; Education
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1435; https://ink.library.smu.edu.sg/context/soe_research/article/2434/viewcontent/Schooling20121117.pdf
• 機構: Singapore Management University

We consider the local linear GMM estimation of functional coe cient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic varian...