A simple estimator for partial linear regression with endogenous nonparametric variables

Michael S. Delgado, Christopher F. Parmeter

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

We propose a simple kernel estimator for semiparametric partial linear models with endogeneity in the nonparametric function. Compared to the existing backfitting estimator, our estimator is notationally simpler and relatively easier to implement. We also discuss data-driven bandwidth selection to implement this estimator in practice. Monte Carlo exercises show that the finite sample performance of these two estimators is similar.

Original languageEnglish (US)
Pages (from-to)100-103
Number of pages4
JournalEconomics Letters
Volume124
Issue number1
DOIs
StatePublished - Jul 2014

Keywords

  • Endogeneity
  • Instrumental variables
  • Monte carlo
  • Partial linear
  • Semiparametric

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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