Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments

Samuele Centorrino, Frédérique Fève and Jean-Pierre Florens

Journal of Econometrics, 2025, vol. 247, issue C

Abstract: We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education.

Keywords: Nonparametric; Instrumental variables; Landweber-Fridman; Returns to education (search for similar items in EconPapers)
JEL-codes: C01 C14 C18 C26 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:247:y:2025:i:c:s0304407625000041

DOI: 10.1016/j.jeconom.2025.105950

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