Additive nonparametric regression in the presence of endogenous regressors

• Main Authors: OZABACI, Deniz, HENDERSON, Daniel J., SU, Liangjun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2014
• 主題: Additive regression; Endogeneity; Generated regressors; Oracle estimation; Structural equation; Econometrics; Economics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1634; https://ink.library.smu.edu.sg/context/soe_research/article/2633/viewcontent/AdditiveNonParametricRegressorsEndogenous.pdf; https://ink.library.smu.edu.sg/context/soe_research/article/2633/filename/0/type/additional/viewcontent/UBES_A_917590_Supplement.pdf

In this article we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient, and free from the curse of dimensionality. Monte Carlo...