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Autoren: 
Cai, Zongwu
Fang, Ying
Lin, Ming
Su, Jia
Datum: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-047
Zusammenfassung: 
In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics.
Schlagwörter: 
Endogeneity
Functional coefficients
Generalized F-test
Instrumental variables models
Nonparametric test
Profile least squares
JEL: 
C00
Dokumentart: 
Working Paper

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