Specification Testing and Simple Close-form Estimation for Nonparametric IV Regression Models
2017/05/26
研討會日期 : 2017-05-26
時間 : 10:30
主講人 : Professor Ji-Liang Shiu
主持人 : Professor Yu-Chin Hsu
地點 : Conference Room B110
演講者簡介 : Professor Shiu received his Ph.D. from the Johns Hopkins University in 2009. He is currently an assistant professor of Jinan University. His research interests include Microeconometrics, Applied Econometrics, and Applied Microeconomics.
演講摘要 : This paper provides an existence and identification test and a closed-form nonparametric estimator for nonparametric instrumental variable models. A solution to the nonparametric instrumental variable model can be linked to the invertibility of the corresponding integral operator. Based on the connection, we give necessary and sufficient conditions for existence of a unique solution and provide a test statistics for existence and identification and a closed-form nonparametric estimator for the solution. The test is consistent uniformly over a large class of probability distributions and can also be used to test consistency of the proposed closed-form nonparametric estimator. We investigate the finite sample properties of the estimator through a Monte Carlo study.
