Does the constraint matter? A note on the asymptotic properties of nonparametric instrumental variable estimation under monotonicity shape constraint

Petyo Bonev

Applied Economics Letters, 2018, vol. 25, issue 9, 588-591

Abstract: I show that constrained monotone instrumental variable estimators are asymptotically equivalent to their unconstrained counterparts whenever the true regression function is in the interior of the constrained set. In a simulation study, a sieve-based constrained estimator is shown to outperform the unconstrained one even in cases where both are asymptotically equivalent.

Date: 2018
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DOI: 10.1080/13504851.2017.1349281

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