Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations
利用非线性变换修正内生性的渐近性质
This paper considers a linear regression model with an endogenous regressor which arises from a nonlinear transformation of a latent variable. It is shown that the corresponding coefficient can be consistently estimated without external instruments by adding a rank-based transformation of the regressor to the model and performing standard OLS estimation. In contrast to other approaches, our nonparametric control function approach does not rely on a conformably specified…