Instrumental variable estimation of nonparametric models

Econometrica

Volumn 71, Issue 5, 2003, Pages 1565-1578

  Newey, Whitney K ^a   Powell, James L ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Instrumental variables; Nonparametric estimation; Structural models

Indexed keywords

APPROXIMATION THEORY; ESTIMATION; PROBLEM SOLVING; THEOREM PROVING;

STRUCTURAL MODELS;

STATISTICAL METHODS;

EID: 0142007871     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00459     Document Type: Article

References (25)

1. AI, C., AND X. CHEN (2001): "Efficient Sieve Minimum Distance Estimation of Semiparametric Conditional Moment Models," Working Paper.
2. ALTONJI, J. G., AND R. L. MATZKIN (2001): "Panel Data Estimators for Nonseparable Models with Endogenous Regressors," NBER Working Paper No. TO267, March.
3. AMEMIYA, T. (1974): "The Nonlinear Two-Stage Least Squares Estimator," Journal of Econometrics, 2, 105-110.
4. BREIMAN, L., AND J. H. FRIEDMAN (1985): "Estimating Optimal Transformations for Multiple Regression and Correlation," Journal of the American Statistical Association, 80, 580-598.
5. BROWN, D. J., AND R. MATZKIN (1998): "Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand," Cowles Foundation Working Paper, March.
6. CHEN, X., AND X. SHEN (1998): "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, 66, 289-314.
7. DAROLLES, S., J.-P. FLORENS, AND E. RENAULT (2000): "Nonparametric Instrumental Regression," Manuscript, GREMAQ, University of Toulouse, April.
8. DAS, M. (1999): "Instrumental Variable Estimation of Models with Discrete Endogenous Regressors," Manuscript presented at 2000 World Congress of the Econometric Society.
9. FLORENS, J.-P. (2000): "Inverse Problems and Structural Econometrics: The Example of Instrumental Variables," Invited Presentation, World Congress of the Econometric Society.
10. GALLANT, A. R. (1987): "Identification and Consistency in Nonparametric Regression," in Advances in Econometrics: Fifth World Congress, ed. by T. F. Bewley. Cambridge: Cambridge University Press, 145-169.
11. GALLANT, A. R., AND D. W. NYCHKA (1987): "Semi-Nonparametric Maximum Likelihood Estimation," Econometrica, 55, 363-390.
12. HAUSMAN, J. A., H. ICHIMURA, W. K. NEWEY, AND J. L. POWELL (1991a): "Identification and Estimation of Polynomial Errors-in-Variables Models," Journal of Econometrics, 50, 273-295.
13. _ (1991b): "Nonlinear Errors in Variables," Journal of Econometrics, 65, 205-233.
14. IMBENS, G. W., AND W. K. NEWEY (2001): "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity, " Preprint, March.
15. KRESS, R. (1989): Linear Integral Equations. New York: Springer-Verlag.
16. LEHMAN, E. L. (1959): Testing Statistical Hypotheses. New York: Wiley.
17. MALINVAUD, E. (1980): Statistical Methods of Econometrics. New York: North-Holland.
18. MAMMEN, E., O. LINTON, AND J. NIELSEN (1999): "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Annals of Statistics, 27, 1443-1490.
19. MUNKRES, J. R. (1975): Topology: A First Course. Englewood Cliffs, NJ: Prentice-Hall.
20. NEWEY, W. K. (1991): "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, 59, 1161-1167.
21. NEWEY, W. K., AND J. L. POWELL (1988): "Instrumental Variables Estimation for Nonparametric Models," Manuscript, Department of Economics, Princeton University.
22. NEWEY, W. K., J. L. POWELL, AND F. VELLA (1999): "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, 67, 565-603.
23. OPSOMER, J. D., AND D. RUPPERT (1997): "Fitting a Bivariate Additive Model by Local Polynomial Regression," Annals of Statistics, 25, 186-211.
24. O'SULLIVAN, F. (1986): "Ill Posed Inverse Problems" (with discussion), Statistical Science, 4, 503-527.
25. ROEHRIG, C. S. (1988): "Conditions for Identification in Nonparametric and Parametric Models," Econometrica, 56, 433-447.