Pairwise difference estimation with nonparametric control variables

• 成果类型: Article
• 署名作者: Aradillas-Lopez, Andres; Honore, Bo E.; Powell, James L.
• 署名单位: Princeton University; University of California System; University of California Berkeley
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2007.00457.x
• 发表日期: 2007
• 页码: 1119-1158
• 关键词: models

摘要

This article extends the pairwise difference estimators for various semilinear limited dependent variable models proposed by Honore and Powell (Identification and Inference in Econometric Models. Essays in Honor of Thomas Rothenberg Cambridge: Cambridge University Press, 2005) to permit the regressor appearing in the nonparametric component to itself depend upon a conditional expectation that is nonparametrically estimated. This permits the estimation approach to be applied to nonlinear models with sample selectivity and/or endogeneity, in which a '' control variable '' for selectivity or endogeneity is nonparametrically estimated. We develop the relevant asymptotic theory for the proposed estimators and we illustrate the theory to derive the asymptotic distribution of the estimator for the partially linear logit model.