Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
含内生解释变量的部分变系数模型的估计与推断
In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are…