Instrumental variable estimation of nonparametric models

被引:434
作者
Newey, WK
Powell, JL
机构
[1] MIT, Dept Econ, Cambridge, MA 02139 USA
[2] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA
关键词
structural models; nonparametric estimation; instrumental variables;
D O I
10.1111/1468-0262.00459
中图分类号
F [经济];
学科分类号
02 ;
摘要
In econometrics there are many occasions where knowledge of the structural relationship among dependent variables is required to answer questions of interest. This paper gives identification and estimation results for nonparametric conditional moment restrictions. We characterize identification of structural functions as completeness of certain conditional distributions, and give sufficient identification conditions for exponential families and discrete variables. We also give a consistent, nonparametric estimator of the structural function. The estimator is nonparametric two-stage least squares based on series approximation, which overcomes an ill-posed inverse problem by placing bounds on integrals of higher-order derivatives.
引用
收藏
页码:1565 / 1578
页数:14
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