Non/Semi-parametric Instrumental Variables Models for Economic Data: Models, Theory, Simulations, Applications - Softcover

Xiong, Huaiyu

Softcover

ISBN 10: 3639106997 ISBN 13: 9783639106992

Publisher: VDM Verlag Dr. Müller, 2008

Synopsis

In recent years, econometricians extended instrumental variable models, a standard approach to regression with endogeneity, to non/semi-parametric settings. However, when the endogenous variables are continuous, such models are exposed to ill-posed problems. Working from a different assumption, this book considers estimation of non/semi-parametric instrumental variables models under a functional coefficient form. Under this representation, models are linear in the endogenous components with either constant or unknown functional coefficients. Due to the linearity, the models avoid the ill-posed problems and at the same time retain the flexibility of the regression function. This study constructs the constant and functional coefficients estimators and proves their consistency and asymptotic normality. The high practical power of these estimators is illustrated via Monte Carlo simulations and an application to labor statistics. The book provides a more efficient way for researchers and practitioners to analyze economic data with endogenous variables utilizing non/semi- parametric models.

About this title

About the Author

Huaiyu Xiong received a Bachelor of Science from Nankai University, Tianjin, China, where he studied mathematics at the Chern Institute of Mathematics. He also holds a Master of Arts in Mathematics and Doctor of Philosophy with a concentration in statistics from the University of North Carolina at Charlotte.

Edition details

• Publisher: VDM Verlag Dr. Müller
• Publication date: 2008
• Language: English
• ISBN 10: 3639106997
• ISBN 13: 9783639106992
• Binding: Paperback
• Number of pages: 120