QQ客服 官方微博 反馈留言

	Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models
	Zongwu Cai ; Henong Li
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=42
关键词	Discontinuity Divergence Endogenous variables Functional coefficient model Weak instrumental variables Local linear fitting Simultaneous equations.
英文摘要	In this paper, we consider a simultaneous equations model under a functional coefficient representation for the structural equation of interest and adopt the local-to-zero assumptions as in Staiger and Stock (1997) and Hahn and Kuersteiner (2002) on the coefficients of the instruments in the reduced form equation. Under this functional coefficient representation, models are linear in endogenous components with coefficients governed by unknown functions of the predetermined exogenous variables. We propose a two-step estimation procedure to estimate the coefficient functions. The first step is to estimate a matrix of unknown parameters of the reduced form equation based on the least squares method, and the second step is to use the local linear fitting technique to estimate coefficient functions by using the estimated reduced forms as regressors. We investigate how the limiting distribution of the proposed nonparametric estimator changes as the parameterization is allowed for different degrees of weakness. As a result, our new theoretical findings are that the possible convergency of the proposed nonparametric estimators can be attained only for the nearly weak case and the rate of convergence for the nonparametric estimator for coefficient functions of endogenous variables is slower than the conventional rate. But the nonparametric estimator for coefficient functions of endogenous variables is divergent for both the weak and nearly non-identified cases. A Monte Carlo simulation is conducted to illustrate the finite sample performance of the resulting estimator and results support these theoretical findings.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56857]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Zongwu Cai,Henong Li. Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models. 2013.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。