Journal
JOURNAL OF ECONOMETRICS
Volume 166, Issue 2, Pages 282-302Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2011.09.041
Keywords
Indirect least squares; Instrumental variables; Measurement error; Nonparametric estimator; Nonseparable structural equations
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Funding
- National Science Foundation [SES-1061263, SES-0452089, SES-0752699]
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We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main finding is negative: in the fully nonseparable case, LILS methods cannot recover the average marginal effect. LIB methods can nevertheless test the hypothesis of no effect in the general nonseparable case. We provide new nonparametric asymptotic theory, treating both the traditional case of observed exogenous instruments Z and the case where one observes only error-laden proxies for Z. (C) 2011 Elsevier B.V. All rights reserved.
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