Abstract
Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.
Original language | English |
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Pages (from-to) | 305-330 |
Number of pages | 26 |
Journal | Econometric Theory |
Volume | 12 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1996 |
Externally published | Yes |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics