Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables

Kirill S. Evdokimov and Andrei Zeleneev

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Abstract: This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and easy-to-interpret conditions on the instrumental variable. The paper also provides nonparametric estimators of the regression function and derives their rates of convergence.

Date: 2024-03
New Economics Papers: this item is included in nep-ecm
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