Nonparametric estimation in case of endogenous selection
This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed for....
Gespeichert in:
| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
2018
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| In: |
Journal of econometrics
Year: 2018, Jahrgang: 202, Heft: 2, Pages: 268-285 |
| DOI: | 10.1016/j.jeconom.2017.11.002 |
| Online-Zugang: | Verlag, Volltext: http://dx.doi.org/10.1016/j.jeconom.2017.11.002 Verlag, Volltext: http://www.sciencedirect.com/science/article/pii/S0304407617302221 
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| Verfasserangaben: | Christoph Breunig, Enno Mammen, Anna Simoni |
MARC
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| 520 | |a This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed for. In the exogenous and endogenous case, consistent two-step estimation procedures are proposed and their rates of convergence are derived. Pointwise asymptotic distribution of the estimators is established. In addition, bootstrap uniform confidence bands are obtained. Finite sample properties are illustrated in a Monte Carlo simulation study and an empirical illustration. | ||
| 650 | 4 | |a Asymptotic normality | |
| 650 | 4 | |a Bootstrap uniform confidence bands | |
| 650 | 4 | |a Convergence rate | |
| 650 | 4 | |a Endogenous selection | |
| 650 | 4 | |a Instrumental variable | |
| 650 | 4 | |a Inverse probability weighting | |
| 650 | 4 | |a Inverse problem | |
| 650 | 4 | |a Regression estimation | |
| 650 | 4 | |a Sieve minimum distance | |
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| 700 | 1 | |a Simoni, Anna |d 1980- |e VerfasserIn |0 (DE-588)1036784576 |0 (DE-627)751156019 |0 (DE-576)386835985 |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t Journal of econometrics |d Amsterdam [u.a.] : Elsevier, 1973 |g 202(2018), 2, Seite 268-285 |h Online-Ressource |w (DE-627)253781817 |w (DE-600)1460617-3 |w (DE-576)072794437 |7 nnas |a Nonparametric estimation in case of endogenous selection |
| 773 | 1 | 8 | |g volume:202 |g year:2018 |g number:2 |g pages:268-285 |g extent:18 |a Nonparametric estimation in case of endogenous selection |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Breunig, Christoph, 1982 - |t Nonparametric estimation in case of endogenous selection |d 2018 |w (DE-627)1049697588 |
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