Nonparametric two-stage estimation of simultaneous equations with limited endogenous regressors

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Abstract

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.

Original languageEnglish
Pages (from-to)305-330
Number of pages26
JournalEconometric Theory
Volume12
Issue number2
DOIs
Publication statusPublished - 1996
Externally publishedYes

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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