Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79379
Authors: 
Schennach, Susanne
White, Halbert
Chalak, Karim
Year of Publication: 
2007
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP31/07
Abstract: 
We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect least squares estimators analogous to those of Heckman and Vytlacil (1999, 2001) who treat a latent index model involving a binary X. We treat the traditional case of an observed exogenous instrument (OXI)and the case where one observes error-laden proxies for an unobserved exogenous instrument (PXI). For PXI, we develop and apply new results for estimating densities and expectations conditional on mismeasured variables. For both OXI and PXI, we use infnite order flat-top kernels to obtain uniformly convergent and asymptotically normal nonparametric estimators of instrument-conditioned effects, as well as root-n consistent and asymptotically normal estimators of average effects.
Subjects: 
derivative ratio effect, endogeneity, indirect least squares, instrumental variables, measurement error, nonparametric estimator, nonseparable structural equation
JEL: 
C13
C14
C31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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