We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation …

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear … cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In …. Remarkably, nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit …

coincide with the known minimax optimal rates for the nonparametric mean IV regression. We illustrate the theory by two … nonparametric nonlinear IV regression, and the convergence rate of a nonparametric additive quantile IV regression. We also present …

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that …

Kernel-based estimators such as local polynomial estimators in regression discontinuity designs are often evaluated at …

We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function …, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly … linear regression. Our main assumption is that the regression function is known to lie in a convex function class, which …