Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors
Keyword(s):
Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.
2013 ◽
Vol 32
(5-6)
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pp. 734-753
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2014 ◽
Vol 5
(2)
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pp. 810
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1983 ◽
Vol 21
(3)
◽
pp. 333-355
◽
Keyword(s):
2012 ◽
Vol 236
(15)
◽
pp. 3676-3684
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Keyword(s):