Publication Type
Journal Article
Version
publishedVersion
Publication Date
5-2008
Abstract
We define a new procedure for consistent estimation of nonparametric simultaneous equations models under the conditional mean independence restriction of Newey et al. [1999. Nonparametric estimation of triangular simultaneous equation models. Econometrica 67, 565-603]. It is based upon local polynomial regression and marginal integration techniques. We establish the asymptotic distribution of our estimator under weak data dependence conditions. Simulation evidence suggests that our estimator may significantly outperform the estimators of Pinkse [2000. Nonparametric two-step regression estimation when regressors and errors are dependent. Canadian Journal of Statistics 28, 289-300] and Newey and Powell [2003. Instrumental variable estimation of nonparametric models. Econometrica 71, 1565-1578].
Keywords
Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
144
Issue
1
First Page
193
Last Page
218
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2008.01.002
Publisher
Elsevier
Citation
SU, Liangjun and ULLAH, Aman.
Local Polynomial Estimation of Nonparametric Simultaneous Equations Models. (2008). Journal of Econometrics. 144, (1), 193-218.
Available at: https://ink.library.smu.edu.sg/soe_research/287
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jeconom.2008.01.002