Local indirect least squares and average marginal effects in nonseparable structural systems

Susanne Schennach, Halbert White and Karim Chalak (chalak@virginia.edu)

Journal of Econometrics, 2012, vol. 166, issue 2, 282-302

Abstract: We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main finding is negative: in the fully nonseparable case, LILS methods cannot recover the average marginal effect. LILS methods can nevertheless test the hypothesis of no effect in the general nonseparable case. We provide new nonparametric asymptotic theory, treating both the traditional case of observed exogenous instruments Z and the case where one observes only error-laden proxies for Z.

Keywords: Indirect least squares; Instrumental variables; Measurement error; Nonparametric estimator; Nonseparable structural equations (search for similar items in EconPapers)
JEL-codes: C13 C14 C31 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:2:p:282-302

DOI: 10.1016/j.jeconom.2011.09.041

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