NPIV: Stata module to perform Nonparametric instrumental-variable regression on a scalar endogenous regressor

Denis Chetverikov (chetverikov@econ.ucla.edu), Dongwoo Kim and Daniel Wilhelm
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Denis Chetverikov: UCLA

Statistical Software Components from Boston College Department of Economics

Abstract: This package implements nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands "npiv" and "npivcv" are able to impose monotonicity of the estimated function. The use of such a shape restriction may significantly improve the performance of the NPIV estimator (Chetverikov and Wilhelm 2017). This is because the ill-posedness of the NPIV estimation problem leads to unconstrained estimators that suffer from particularly poor statistical properties such as very high variance. The constrained estimator that imposes the monotonicity, on the other hand, significantly reduces variance by removing oscillations of the estimator that is nonmonotone.

Language: Stata
Requires: Stata version 11 and bspline, polyspline from SSC (q.v.)
Keywords: nonparametric estimation; instrumental variables; IV; cross-validation (search for similar items in EconPapers)
Date: 2019-03-24
Note: This module should be installed from within Stata by typing "ssc install npiv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/n/npiv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/npiv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/n/npivcv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/npivcv.sthlp help file (text/plain)

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