Average Marginal Effects in One-Step Partially Linear Instrumental Regressions
一步部分线性工具变量回归中的平均边际效应
We propose a novel procedure for estimating and conducting inference on average marginal effects in partially linear instrumental regressions using Reproducing Kernel Hilbert Space methods. Our procedure relies on a single regularization parameter. We obtain the consistency and asymptotic normality of our estimator. Since the variance of the limiting distribution has a complex analytical form, we propose a Bayesian bootstrap method to conduct inference and establish its…