Local polynomial estimation of nonparametric simultaneous equations models

Journal of Econometrics

Volumn 144, Issue 1, 2008, Pages 193-218

  Su, Liangjun ^a   Ullah, Aman ^b  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models

Indexed keywords

ASYMPTOTIC ANALYSIS; DIFFERENTIAL EQUATIONS; INTEGRATION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; REGRESSION ANALYSIS;

ADDITIVE NONPARAMETRIC REGRESSION; INSTRUMENTAL VARIABLES; LOCAL POLYNOMIAL REGRESSION; STRUCTURAL MODELS;

POLYNOMIALS;

EID: 42749085690     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.01.002     Document Type: Article

References (38)

1. Brown, D.J., Matzkin, R., 1998. Estimation of nonparametric functions in simultaneous equations models with an application to consumer demand. Cowles Foundation Working Paper, Yale University.
2. Cai Z. A two-stage approach to additive time series models. Statistica Neerlandica 56 (2002) 415-433
3. Darolles, S., Florens, J.P., Renault, E., 2000. Nonparametric instrumental regression. Manuscript, GREMAQ, University of Toulouse, April.
4. Fan J. Design-adaptive nonparametric regression. Journal of the American Statistical Association 87 (1992) 998-1004
5. Fan J., and Gijbels I. Local Polynomial Modelling and its Applications (1996), Chapman & Hall, London
6. Farrell L., Morgenroth E., and Walker I. A time series analysis of U.K. lottery sales: long and short run price elasticities. Oxford Bulletin of Economics and Statistics 61 (1999) 513-626
7. Gao, J., King, M., 2001. Estimation and model specification testing in nonparametric and semiparametric regression models. Technical Report, Department of Mathematics and Statistics, University of Western Australia.
8. Hastie T.J., and Tibshirani R.J. Generalized Additive Models (1990), Chapman & Hall, New York
9. Horowitz, J.L., 1999. Nonparametric estimation of a generalized additive model with an unknown link function. Mimeo, Department of Economics, University of Iowa.
10. Horowitz J.L. Nonparametric estimation of a generalized additive model with an unknown link function. Econometrica 69 (2001) 499-513
11. Horowitz, J.L., 2005. Asymptotic normality of a nonparametric instrumental variables estimator. Working paper, Department of Economics, Northwestern University.
12. Imbens, G.W., Newey, W.K., 2006. Identification and estimation of triangular simultaneous equations models without additivity. Preprint, MIT.
13. Li Q., and Racine J. Cross-validated local linear nonparametric regression. Statistica Sinica 14 (2004) 485-512
14. Li Q., and Wooldridge J.M. Semiparametric estimation of partially linear models for dependent data with generated regressors. Econometric Theory 18 (2002) 625-645
15. Linton O. Efficient estimation of additive nonparametric regression models. Biometrika 84 (1997) 469-473
16. Linton O. Efficient estimation of generalized additive nonparametric regression models. Econometric Theory 16 (2000) 502-523
17. Linton O., and Härdle W. Estimating additive regression models with known links. Biometrika 83 (1996) 529-540
18. Lundberg M., and Squire L. The simultaneous evolution of growth and inequality. Economic Journal 113 (2003) 326-344
19. Mammen E., and Park B.U. Bandwidth selection for smooth backfitting in additive models. Annals of Statistics 33 (2005) 1260-1294
20. Masry E. Multivariate regression estimation: local polynomial fitting for time series. Stochastic Processes and their Applications 65 (1996) 81-101
21. Masry E. Multivariate local polynomial regression for time series: uniform strong consistency rates. Journal of Time Series Analysis 17 (1996) 571-599
22. Newey, W.K., Powell, J.L., 1989. Instrumental variables estimation for nonparametric models. Manuscript, Department of Economics, Princeton University.
23. Newey W.K., and Powell J.L. Instrumental variable estimation of nonparametric models. Econometrica 71 (2003) 1565-1578
24. Newey W.K., Powell J.L., and Vella F. Nonparametric estimation of triangular simultaneous equation models. Econometrica 67 (1999) 565-603
25. Nielsen J.P., and Sperlich S. Smooth backfitting in practice. Journal of the Royal Statistical Society B 67 (2005) 43-61
26. Opsomer J.D., and Ruppert D. A fully automated bandwidth selection method for fitting additive models. Journal of the American Statistical Association 93 (1998) 605-619
27. Pagan A., and Ullah A. Nonparametric Econometrics (1999), Cambridge University Press, Cambridge
28. Pinkse J. Nonparametric two-step regression estimation when regressors and errors are dependent. Canadian Journal of Statistics 28 (2000) 289-300
29. Racine J., and Li Q. Nonparametric estimation of regression functions with both categorical and continuous data. Journal of Econometrics 119 (2004) 99-130
30. Roehrig C.S. Conditions for identification in nonparametric and parametric models. Econometrica 56 (1988) 433-447
31. Severance-Lossin E., and Sperlich S. Estimation of derivatives for additive separable models. Statistics 33 (1999) 241-265
32. Sperlich S., Linton O.B., and Härdle W. Integration and backfitting methods in additive models-finite sample properties and comparison. Test 8 (1999) 419-458
33. Stone C.J. Optimal rates of convergence for nonparametric estimators. Annals of Statistics 8 (1980) 1348-1360
34. Su L., and Ullah A. More efficient estimation in nonparametric regression with nonparametric autocorrelated errors. Econometric Theory 22 (2006) 98-126
35. Sun S., and Chiang C.-Y. Limiting behavior of the perturbed empirical distribution functions evaluated at U-statistics for strongly mixing sequences of random variables. Journal of Applied Mathematics and Stochastic Analysis 10 (1997) 3-20
36. Xiao Z., Linton O.B., Carroll R.J., and Mammen E. More efficient local polynomial estimation in nonparametric regression with autocorrelated errors. Journal of American Statistical Association 98 (2003) 980-992
37. Yang L., Sperlich S., and Härdle W. Derivative estimation and testing in generalized additive models. Journal of Statistical Planning and Inference 115 (2003) 521-542
38. Zellner A., and Palm F.C. The Structural Econometric Time Series Analysis Approach (2004), Cambridge University Press, New York