Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide

Xiaohong Chen () and Yin Jia Qiu ()
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Yin Jia Qiu: Dept. of Economics, Yale University

No 2032, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper reviews recent advances in estimation and inference for nonparametric and semiparametric models with endogeneity. It first describes methods of sieves and penalization for estimating unknown functions identified via conditional moment restrictions. Examples include nonparametric instrumental variables regression (NPIV), nonparametric quantile IV regression and many more semi-nonparametric structural models. Asymptotic properties of the sieve estimators and the sieve Wald, quasi-likelihood ratio (QLR) hypothesis tests of functionals with nonparametric endogeneity are presented. For sieve NPIV estimation, the rate-adaptive data-driven choices of sieve regularization parameters and the sieve score bootstrap uniform confidence bands are described. Finally, simple sieve variance estimation and over-identification test for semiparametric two-step GMM are reviewed. Monte Carlo examples are included.

Keywords: Conditional moment restrictions containing unknown functions; (Quantile) Instrumental variables; Linear and nonlinear functionals; Sieve minimum distance; Sieve GMM; Sieve Wald; QLR; Bootstrap; Semiparametric two-step GMM; Numerical equivalence (search for similar items in EconPapers)
JEL-codes: C12 C14 C32 (search for similar items in EconPapers)
Pages: 71 pages
Date: 2016-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published in Annual Review of Economics, (October 2016), 8(1): 259-290

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Journal Article: Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide (2016)
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