Artikel
Nonparametric estimation of triangular simultaneous equations models under weak identification
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced-form functions where the associated rank shrinks to zero. The problem of weak instruments is characterized as concurvity, which motivates the introduction of a regularization scheme. The paper proposes a penalized series estimation method to alleviate the effects of weak instruments and shows that it achieves desirable asymptotic properties. A data-driven procedure is proposed for the choice of the penalization parameter. The findings of this paper provide useful implications for empirical work. To illustrate them, Monte Carlo results are presented and an empirical example is given in which the effect of class size on test scores is estimated nonparametrically.
- Sprache
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Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 1 ; Pages: 161-202 ; New Haven, CT: The Econometric Society
Estimation: General
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
nonparametric identification
weak identification
weak instruments
series estimation
regularization
concurvity
- DOI
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doi:10.3982/QE975
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:22 MESZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Han, Sukjin
- The Econometric Society
Entstanden
- 2020
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