Nonparametric Estimation of Triangular Simultaneous Equations Models
提出一个两步非参数估计法，用于三角联立方程模型。第一步估计简化形式并得到残差，第二步将残差作为回归元估计主方程。推导了估计量的一致性和渐近正态性，包括最优收敛速度，并用小时工资与年工作小时数的关系示例说明。
This paper presents a simple two-step nonparametric estimator for a triangular simultaneous equation model. Our approach employs series approximations that exploit the additive structure of the model. The first step comprises the nonparametric estimation of the reduced form and the corresponding residuals. The second step is the estimation of the primary equation via nonparametric regression with the reduced form residuals included as a regressor. We derive consistency and asymptotic normality results for our estimator, including optimal convergence rates. Finally we present an empirical example, based on the relationship between the hourly wage rate and annual hours worked, which illustrates the utility of our approach.