Exploring the Use of a Nonparametrically Generated Instrumetal Variable in the Estimation of a Linear Parametric Equation

Frank Denton

Social and Economic Dimensions of an Aging Population Research Papers from McMaster University

Abstract: The use of a nonparametrically generated instrumental variable in estimating a single-equation linear parametric model is explored, using kernel and other smoothing functions. The method, termed IVOS (Instrumental Variables Obtained by Smoothing), is applied in the estimation of measurement error and endogenous regressor models. Asymptotic and small-sample properties are investigated by simulation, using artificial data sets. IVOS is easy to apply and the simulation results exhibit good statistical properties. It can be used in situations in which standard IV cannot because suitable instruments are not available.

Keywords: single equation models; nonparametric; instrumental variables (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2005-01
New Economics Papers: this item is included in nep-ecm
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Related works:
Working Paper: Exploring the Use of a Nonparametrically Generated Instrumental Variable in the Estimation of a Linear Parametric Equation (2004)
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