Electronic Resource
New York
:
Cambridge University Press
Econometric theory
12 (1996), S. 305-330
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
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 of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600006605
Permalink
|
Location |
Call Number |
Expected |
Availability |