Nonparametric estimation in case of endogenous selection

A-Tier
Journal: Journal of Econometrics
Year: 2018
Volume: 202
Issue: 2
Pages: 268-285

Authors (3)

Breunig, Christoph (not in RePEc) Mammen, Enno (not in RePEc) Simoni, Anna (Centre de Recherche en Économi...)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:econom:v:202:y:2018:i:2:p:268-285
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29