This note argues that nonparametric regression not only relaxes functional form assumptions vis-a-vis parametric regression, but that it also permits endogenous control variables. To control for selection bias or to make an exclusion restriction in instrumental variables regression valid,...

Economic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing constraints in nonparametric regression. We survey the...

This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...

Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial regression estimator which can deal with such truncated or censored...

We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity estimator. We focus on estimation by local linear regression, which was shown to be rate optimal (Porter, 2003). Investigation of an expected-squared-error-loss criterion reveals...

The linear IV estimator, in which the dependent variable is a linear function of a potentially endogenous regressor, is a major workhorse in empirical economics. When this regressor takes on multiple values, the linear specification restricts the marginal effects to be constant across all...

The quality of match of four statistical matches used in the LIMEW estimates for Canada for 1999 and 2005 is described. The first match combines the 1999 Survey of Financial Security (SFS) with the 1999 Survey of Labour and Income Dynamics (SLID). The second match combines the 1998 General...

The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...

The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and...

The quality of match for each of four statistical matches used in the LIMEW estimates for France for 1989 and 2000 is described. The first match combines the 1992 Enquête sur les Actifs Financiers with the 1989-90 Enquête Budget de Famille (BDF). The second match combines the 1998 General...