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逆回归函数的直接工具变量非参数估计AI 解读

This paper treats the estimation of the inverse g−1 of a monotonic function g satisfying E[Y−g(X)|W]=0 where (X,W) is continuously distributed. Using instrumental restrictions, many parameters of interest in econometrics can be expressed as inverses of functions satisfying such a conditional moment. As far as I know, consistent estimators are available only if g(X)=E[Y|X], which precludes endogenous models. This, and other technical concerns, motivates a methodology for…

半线性众数回归AI 解读

In this paper, I estimate the slope coefficient parameter β of the regression model Y=X′β+φ(V)+e, where the error term e satisfies Mode(e&7CX,V)=0 almost surely and ϕ is an unknown function. It is possible to achieve n−2/7‐consistency for estimating β when ϕ is known up to a finite‐dimensional parameter. I present a consistent and asymptotically normal estimator for β, which does not require prescribing a functional form for ϕ, let alone a parametrization. Furthermore, the…

部分线性二元响应模型的积分核加权平滑最大得分估计AI 解读

This paper considers a binary response model with a partially linear latent equation, where ϕ is an unknown function and β is a finite-dimensional parameter of interest. Using the principle of smoothed maximum score estimation (Horowitz, 1992; Econometrica 60(3), 505–531), a consistent and asymptotically normal (C.A.N.)estimator for β is proposed under the restriction that the median of the error conditional on the covariates is equal to 0. Furthermore, the rate of…