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

Research output: Contribution to journalArticle

14 Citations (Scopus)

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
Publication statusPublished - 1996 Dec 1
Externally publishedYes

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Two-stage estimation
Simultaneous equations
Endogenous regressors
Two-stage least squares
Nuisance parameter
Censored models
literature

ASJC Scopus subject areas

  • Economics and Econometrics
  • Social Sciences (miscellaneous)

Cite this

Nonparametric two-stage estimation of simultaneous equations with limited endogenous regressors. / Lee, Myoung-jae.

In: Econometric Theory, Vol. 12, No. 2, 01.12.1996, p. 305-330.

Research output: Contribution to journalArticle

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