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

• المؤلفون الرئيسيون: SU, Liangjun, MURTAZASHVILI, Irina, ULLAH, Aman
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Discrete variables; Endogeneity; Heterogeneity; Functional coefficient; Local linear GMM estimation; Optimal instrumental variable; Schooling; Econometrics; Economics; Education
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1435; https://ink.library.smu.edu.sg/context/soe_research/article/2434/viewcontent/Schooling20121117.pdf
• المؤسسة: 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...