Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 170
Issue: 2
Pages: 491-498

Authors (2)

Severini, Thomas A. (not in RePEc) Tripathi, Gautam (Université du Luxembourg)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

Let Y=μ∗(X)+ε, where μ∗ is unknown and E[ε|X]≠0 with positive probability but there exist instrumental variables W such that E[ε|W]=0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ∗ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ∗ without assuming μ∗ itself to be identified.

Technical Details

RePEc Handle
repec:eee:econom:v:170:y:2012:i:2:p:491-498
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29