Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors

Let Y=μ∗(X)+ε, where μ∗ is unknown and E[ε|X]≠0 with positive probability but there exist instrumental variables W such that E[ε|W]=0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ∗ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ∗ without assuming μ∗ itself to be identified.

MoreLess

Year of publication:	2012
Authors:	Severini, Thomas A. ; Tripathi, Gautam
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 170.2012, 2, p. 491-498
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011052222