Semi-parametric estimation in a single-index model with endogenous variables
(2014) , 29 pages
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- Abstract
- We consider a semiparametric single-index model, and suppose that endogeneity is present in the explanatory variables. The presence of an instrument is assumed that is non-correlated with the error term. We propose an estimator of the parametric component of the model, which is the solution of an ill-posed inverse problem. The estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study is conducted to illustrate the finite sample performance of the proposed estimator.
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Citations
Birke, M., Van Bellegem, S., & Van Keilegom, I. (2014). Semi-parametric estimation in a single-index model with endogenous variables (ISBA Discussion Paper 2014/43). https://hdl.handle.net/2078.5/268503