Efficient estimation of non parametric simultaneous equations models

ABSTRACT

This paper defines a new procedure to efficiently estimate non parametric simultaneous equations models. The proposed estimation procedure exploits the additive structure and achieves oracle efficiency without the knowledge of unobserved error terms. Furthermore, simulation results show that our new estimator outperforms the existing estimator in terms of mean squared error.

KEYWORDS:

• Instrumental variables
• local polynomial regression
• non parametric additive models
• structural models

MATHEMATICS SUBJECT CLASSIFICATION:

• C13
• C14
• C30

Acknowledgments

The author would like to thank Aman Ullah for helpful discussions and valuable comments. This paper is supported by National Natural Science Foundation of China (Approval number 71472007).