Nonparametric Instrumental Variables Estimation

By Whitney K. Newey. 2013

89 citations recorded by the source corpus.

In many economic models, objects of interest are functions which satisfy conditional moment restrictions. Economics does not restrict the functional form of these models, motivating nonparametric methods. In this paper we review identification results and describe a simple nonparametric instrumental variables (NPIV) estimator. We also consider a simple method of inference. In addition we show how the ability to uncover nonlinearities with conditional moment restrictions is related to the strength of the instruments. We point to applications where important nonlinearities can be found with NPIV and applications where they cannot.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

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Citations in the corpus

Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression (2015, unknown): “The sieve L2 measure of ill-posedness is τJ = sup h∈ΨJ :h =0 ‖h‖L2(X) ‖Th‖L2(W ) = 1 inf h∈ΨJ 1 ‖Th‖L2(W ) Following Blundell, Chen, and Kristensen (2007), we call a NPIV model (1) withXi being a d-dimensional random vector (i) mildly ill-posed if τJ =O(Jς/d) for some ς > 0 (ii) severely ill-posed i”
Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models (2014, background): “= 0 (e.g., Chernozhukov and Hansen (2005), Chernozhukov et al. (2007), Horowitz and Lee (2007), Chen and Pouzo (2012a), Gagliardini and Scaillet (2012)); semi/nonparametric demand models with endogeneity (e.g., Blun- dell et al. (2007), Chen and Pouzo (2009), Souza-Rodrigues (2012));…”
NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS (2011, background): “…Chen, and Kristensen (2007)), nonparametric IV quantile models (see Chernozhukov and Hansen (2005), Chernozhukov, Imbens, and Newey (2007), and Horowitz and Lee (2007)), measurement error models (see Hu and Schennach (2008), An and Hu (2012), Carroll, Chen, and Hu (2010), and Chen and Hu…”