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Semiparametric Varying Coefficient Models with Endogenous Covariates

Author

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  • S. Centorrino
  • J. S. Racine
Abstract
Though parametric methods are popular in applied settings, practitioners often require nonparametric alternatives.However,fully nonparametric methods are known to suffer from the curse-of-dimensionality, which limits their practical application. Semiparametric methods occupy a middle ground, have the desirable feature that they are both flexible,and provide an attractive alternative to fully nonparametric methods, while attenuating the curse-of-dimensionality.Traditional semiparametric methods, such as the popular 'varying coefficient' specification, do not account for endogenous covariates, which restricts their application. In this paper we consider the estimation of semiparametric varying coefficient models when the functional coefficients may contain (continuous) endogenous covariates thereby extending the reach of this fl exible and powerful class of models.

Suggested Citation

  • S. Centorrino & J. S. Racine, 2016. "Semiparametric Varying Coefficient Models with Endogenous Covariates," Department of Economics Working Papers 2016-02, McMaster University.
  • Handle: RePEc:mcm:deptwp:2016-02
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    Cited by:

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    2. Samuele Centorrino & Jean-Pierre Florens & Jean-Michel Loubes, 2022. "Fairness constraint in Structural Econometrics and Application to fair estimation using Instrumental Variables," Papers 2202.08977, arXiv.org.
    3. Fernando Rios-Avila, 2019. "A Semi-Parametric Approach to the Oaxaca–Blinder Decomposition with Continuous Group Variable and Self-Selection," Econometrics, MDPI, vol. 7(2), pages 1-29, June.

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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • I26 - Health, Education, and Welfare - - Education - - - Returns to Education

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