Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables
Econometrics
2024-03-19 v1
Abstract
This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and easy-to-interpret conditions on the instrumental variable. The paper also provides nonparametric estimators of the regression function and derives their rates of convergence.
Keywords
Cite
@article{arxiv.2403.11309,
title = {Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables},
author = {Kirill S. Evdokimov and Andrei Zeleneev},
journal= {arXiv preprint arXiv:2403.11309},
year = {2024}
}