Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 37, Issue 1, Pages 158-170Publisher
AMER STATISTICAL ASSOC
DOI: 10.1080/07350015.2017.1294079
Keywords
Endogeneity; Functional coefficients; Generalized F-test; Instrumental variables models; Nonparametric test; Profile least squares
Funding
- NSFC [71271179, 11101341, 71131008, 71631004]
- National Science Fund for Distinguished Young Scholars [71625001]
Ask authors/readers for more resources
In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available