| 杂志 | Journal of Business & Economic
37(1), 158-170, 2019 |
| 作者 | Zongwu Cai, Ying Fang, Ming Lin, Jia Su |
| 正文 | In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step
estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic
intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics. |
| JEL-Codes： | |
| 关键词： | Endogeneity; Functional coefficients; Generalized F-test; Instrumental variables models; Nonparametric test; Profile least squares |
