Instrumental Variable Estimation of Nonparametric Models

Whitney Newey and James Powell

Econometrica, 2003, vol. 71, issue 5, 1565-1578

Abstract: In econometrics there are many occasions where knowledge of the structural relationship among dependent variables is required to answer questions of interest. This paper gives identification and estimation results for nonparametric conditional moment restrictions. We characterize identification of structural functions as completeness of certain conditional distributions, and give sufficient identification conditions for exponential families and discrete variables. We also give a consistent, nonparametric estimator of the structural function. The estimator is nonparametric two-stage least squares based on series approximation, which overcomes an ill-posed inverse problem by placing bounds on integrals of higher-order derivatives. Copyright The Econometric Society 2003.

Date: 2003
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