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Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors

Published online by Cambridge University Press:  11 February 2009

Myoung-Jae Lee
Affiliation:
Tilburg University

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.

Type
Research Article
Copyright
Copyright © Cambridge University Press 1996

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