Efficiency Bounds for Estimating Linear Functionals of Nonparametric Regression Models with Endogenous Regressors
نویسنده
چکیده
Let Y = μ∗(X)+ε, where μ∗ is unknown and E[ε|X] 6= 0 with positive probability but there exist instrumental variables W such that E[ε|W ] = 0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ∗ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ∗ without assuming μ∗ itself to be identified.
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