Inferences for a Partially Varying Coefficient Model With Endogenous Regressors

Zongwu Cai, Ying Fang, Ming Lin and Jia Su

Journal of Business & Economic Statistics, 2019, vol. 37, issue 1, 158-170

Abstract: In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics.

Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:37:y:2019:i:1:p:158-170

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DOI: 10.1080/07350015.2017.1294079

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