Average Marginal Effects in One-Step Partially Linear Instrumental Regressions

Lucas Girard and Elia Lapenta

Papers from arXiv.org

Abstract: We propose a novel procedure for estimating and conducting inference on average marginal effects in partially linear instrumental regressions using Reproducing Kernel Hilbert Space methods. Our procedure relies on a single regularization parameter. We obtain the consistency and asymptotic normality of our estimator. Since the variance of the limiting distribution has a complex analytical form, we propose a Bayesian bootstrap method to conduct inference and establish its validity. Our procedure is easy to implement and exhibits good finite-sample performance in simulations. Three empirical applications illustrate its implementation on real data, showing that it yields economically meaningful results.

Date: 2026-04
New Economics Papers: this item is included in nep-ecm
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