Kernel-based estimation of semiparametric regression in triangular systems |
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| Authors: | Carlos Martins-Filho Feng Yao |
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| Affiliation: | a Department of Economics, University of Colorado, Boulder, CO 80309-0256, USAb IFPRI, 2033 K Street NW, Washington, DC 20006-1002, USAc Department of Economics, West Virginia University, Morgantown, WV 26505, USA |
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| Abstract: | We propose a kernel-based estimator for a partially linear model in triangular systems where endogenous variables appear both in the nonparametric and linear component functions. Our estimator is easy to implement, has an explicit algebraic structure, and exhibits good finite sample performance in a Monte Carlo study. |
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| Keywords: | C12 C14 |
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