Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors

Myoung-jae Lee

Econometric Theory, 1996, vol. 12, issue 2, 305-330

Abstract: Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.

Date: 1996
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