Kernel-based estimation of semiparametric regression in triangular systems

Carlos Martins-Filho and Feng Yao

Economics Letters, 2012, vol. 115, issue 1, 24-27

Abstract: We propose a kernel-based estimator for a partially linear model in triangular systems where endogenous variables appear both in the nonparametric and linear component functions. Our estimator is easy to implement, has an explicit algebraic structure, and exhibits good finite sample performance in a Monte Carlo study.

Keywords: Additive semiparametric regression; Instrumental variables; Local linear regressions (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:24-27

DOI: 10.1016/j.econlet.2011.11.035

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