Semi-Parametric Estimation in a Single- Index Model with Endogenous Variables

Mélanie Birke (), Sébastien van Bellegem () and Ingrid Van Keilegom ()
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Mélanie Birke: Universit at Bayreuth
Sébastien van Bellegem: Université catholique de Louvain, CORE, Belgium

No 2016022, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We consider a semiparametric single-index model, and suppose that endogeneity is present in the explanatory variables. The presence of an instrument is assumed that is non-correlated with the error term. We propose an estimator of the parametric component of the model, which is the solution of an ill-posed inverse problem. The estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study is conducted to illustrate the finite sample performance of the proposed estimator.

Keywords: Endogeneity; Ill-posed inverse problem; Instrumental variable; Semiparametric regression; Single-index model; Tikhonov regularization (search for similar items in EconPapers)
Date: 2016-04-03
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Related works:
Journal Article: Semi-parametric Estimation in a Single-index Model with Endogenous Variables (2017)
Working Paper: Semi-parametric estimation in a single-index model with endogenous variables (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2016022

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