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NONPARAMETRIC INSTRUMENTAL VARIABLES AND REGULAR ESTIMATION

Published online by Cambridge University Press:  14 March 2017

Jinyong Hahn  and
Zhipeng Liao
Jinyong Hahn*
Affiliation:
University of California, Los Angeles
Zhipeng Liao
Affiliation:
University of California, Los Angeles
*
*Address correspondence to Jinyong Hahn, Department of Economics, UCLA, Box 951477, Los Angeles, CA 90095-1477, USA; e-mail: [email protected].
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Abstract

This paper investigates whether there can exist regular estimators in models characterized by nonparametric instrumental variable (NPIV). We show by a number of examples that regular estimation is impossible in general for nonlinear functionals.

Type
ARTICLES
Information
Econometric Theory , Volume 34 , Issue 3 , June 2018 , pp. 574 - 597
Copyright
Copyright © Cambridge University Press 2017 

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Footnotes

We acknowledge helpful comments by anonymous referees. We are particularly grateful to the Editor and a Co-Editor for their considerable input.

References

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